2016/2017

2016/2017

DM270

MAT/06 (PROBABILITÀ E STATISTICA MATEMATICA)

DIPARTIMENTO DI SCIENZE ECONOMICHE E AZIENDALI

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

Finance

1°

Primo Semestre (26/09/2016 - 22/12/2016)

9

66 ore di attività frontale

ENGLISH

SCRITTO

LIJOI ANTONIO (titolare) - 9 CFU

The course is self-contained and no specific prerequisite is needed. Nonetheless, familiarity with the basic concepts in Probability typically taught in an introductory course in Statistics will be helpful.

This is a first course on Probability and Stochastic Processes, having economic and financial applications in view. Accordingly, after introducing some basic notions of probability theory (including conditional expectation), lectures will focus on those processes which are popular in finance, including martingales, Markov chains and Brownian motion. As far as possible, technicalities are avoided. Various exercises will be discussed as well.

- Random variables and vectors
- Distribution functions
- Transformations of random variables and vectors
- Simulation of random variables
- Moment generating function
- Laws of large numbers
- Central limit theorem
- Conditional expectation
- Martingales
- Stopping times
- Brownian motion

All lectures are displayed on the blackboard. Students are introduced to main theoretical concepts and results through a number of examples and illustrations that considerably ease the understanding of the subject.

* Billingsley P. (1995). "Probability and Measure". Wiley, 3rd Edition.
* Durrett, R. (2009). "Elementary Probability for Applications". Cambridge University Press.
* Resnick, S. (1998). "A Probability Path". Birkhaeuser.

Oral

Oral