Università degli Studi di Pavia

Dipartimento di Matematica ''F. Casorati''

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Mathematical Finance

Professors:
Carbone Raffaella
Year:
2015/2016
Course code:
504507
ECTS:
6
SSD:
MAT/06
DM:
270/04
Lessons:
48
Period:
I semester
Language:
Italian

Objectives

The aim is to give some fundamental notions about the applications to finance of the theory of probability and of stochastic processes.

Teaching methods

Lectures

Examination

Oral examination

Prerequisites

The contents of the courses "Probabilità e Statistica" and "Probabilità\?

Syllabus

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.

Bibliography

"Introduction to Stochastic Calculus Applied to Finance", D.Lamberton e B. Lapeyre, Chapman&Hall/CRC


Dipartimento di Matematica ''F. Casorati''

Università degli Studi di Pavia - Via Ferrata, 5 - 27100 Pavia
Tel +39.0382.985600 - Fax +39.0382.985602