2019/2020

2020/2021

DM270

SECS-S/06 (METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE)

DIPARTIMENTO DI SCIENZE ECONOMICHE E AZIENDALI

ECONOMICS, FINANCE AND INTERNATIONAL INTEGRATION - ECONOMIA, FINANZA E INTEGRAZIONE INTERNAZIONALE

Finance

2°

Primo Semestre (28/09/2020 - 22/12/2020)

3

30 ore di attività frontale

English

SCRITTO

AHELEGBEY DANIEL FELIX (titolare) - 3 CFU

Knowledge of the basic topic of Mathematics for the Economics, Statistics, Econometrics

The course aims to provide the student an introduction to the numerical techniques for the quantitative analysis of economics and financial markets.
The numerical methods are applied using Matlab. The software Matlab and its programming language is presented.
The applied part of the program concerns some financial application, where the numerical methods play a central role.

Introduction to Matlab
Linear algebra with a numerical software
Variables, vectors, matrices, functions and strings
Conditional statement (IF) and loops (FOR, WHILE)
Graphics
Introduction to numerical optimization
Introduction to random variable simulation
Option pricing
Monte Carlo methods

Lectures and computer lab

C. Pocci, G. Rotundo, R. De Kok, Matlab, Apogeo, 2017
C. Moler, Numerical Computing with Matlab, Revised Reprint 2nd Edition, SIAM, 2004
P. Brandimarte, Numerical Methods in Finance and Economics a Matlab-Based Introduction, Wiley-Interscience, 2006
V. Martin, S. Hurn, D. Harris, Econometric Modelling with Time Series: Specification, Estimation and Testing, Cambridge University
Press, 2012
M. Gilli, D. Maringer, E. Schumann, Numerical Methods and Optimization in Finance, Academic Press, 2011

Teamworks and written exam