Mathematical Finance

Credits

Prerequisites

None.

Examination method

Final assessment by means of written and/or oral exams.

Learning
objectives

A subject aimed at an advanced knowledge of mathematical models for financial decisions under uncertainty, with particular reference to stock markets, at the acquisition of portfolio selection methodologies and of modelling involving expectations and risk in markets, as well as at the structure and valuation of derivative contracts.

Elements of utility theory – Utility theory and portfolio selection – Mean-variance analysis of stock portfolios – The Capital Asset Pricing Model: Identification of the equilibrium price of securities, Risk decomposition – Arbitrage Pricing Theory – Options: Combinations, The binomial model for option pricing, The Black-Scholes model – Value at Risk (VaR).

Academic Year
2018/2019

Lecturer: Giovanna DI LORENZO.

Semester: first.

Syllabus: see the dedicated page.

Mathematical Finance