MATHEMATICAL FINANCE
Stampa
Enrollment year
2020/2021
Academic year
2020/2021
Regulations
DM270
Academic discipline
MAT/06 (PROBABILITY AND MATHEMATICAL STATISTICS)
Department
DEPARTMENT OF MATHEMATICS "FELICE CASORATI"
Course
MATHEMATICS
Curriculum
PERCORSO COMUNE
Year of study
Period
1st semester (01/10/2020 - 20/01/2021)
ECTS
6
Lesson hours
56 lesson hours
Language
Italian
Activity type
ORAL TEST
Teacher
CARBONE RAFFAELLA (titolare) - 6 ECTS
Prerequisites
The contents of the courses "Probabilita' e Statistica" and "Probabilita"
Learning outcomes
The aim is to give some fundamental notions about the applications to finance of the theory of probability and of stochastic processes.
Course contents
Introduction to some basic notions of mathematical finance: markets, options, strategies, options' pricing and hedging. Study of some main properties of markets in a discrete setting and of the Black and Scholes' model.

Extended summary

- Quick resume of some probabilistic tools (conditional expectations and martingales, in particular).
- Definitions of basic objects used in mathematical finance: options, markets, strategies, arbitrage...
- Pricing and hedging european options in discrete models (with discrete times and discrete probability space).
- Brownian motion and elements of stochastic calculus.
- Pricing and hedging european options in the Black and Scholes' model.
- Problems connected to asian and american options.
Teaching methods
Lectures about theoretical contents and interactive lectures where students will be called to solve some easy problems.
Reccomended or required readings
"Introduction to Stochastic Calculus Applied to Finance", D.Lamberton e B. Lapeyre, Chapman&Hall/CRC
Assessment methods
Oral examination. The questions will concern the topics developed during the lectures. The student will have to prove an appropriate comprehension of the subject matter.
Further information
--
Sustainable development goals - Agenda 2030