Mathematical Finance

Basic Course

Lecturer:
Andrea Molent (University of Udine)

Board Contact:
Andrea Molent

SSD: SECS-S/06

CFU: 3+2

Period: May 2023

Lessons / Hours: 4 lessons, each of 3 hours

Program:

Valuation of financial derivatives according to the assumption of absence of arbitrages
The CRR model
The Black-Scholes model
Machine learning applications in Finance
Implementation of the main algorithms with Python/MATLAB

3 homework assignments are expected.

Verification: Written test lasting approximately one hour

Prerequisites: Python or MATLAB programming