Course
Lecturers: Andrea Molent (University of Udine)
Board Contact: Andrea Molent
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SSD: STAT-04/A
CFU: 3 CFU + assignment: 2 CFU
Period: April 2025
Lessons / Hours: 4 lectures, 12 hours
Program:
- Valuation of Financial Derivatives Under the Absence of Arbitrage Opportunities (1 hour)
- Introduction to Derivatives
- The Concept of Arbitrage
- Valuation Techniques
- Pricing Models
- The CRR (Cox-Ross-Rubinstein) Model (3 hours)
- Introduction to the CRR Model
- Construction of the Binomial Tree
- Valuation of European and American Options
- Extensions and Limitations
- The Black-Scholes Model (5 hours)
- Introduction to the Black-Scholes Framework
- Black-Scholes Formula for Option Pricing
- Applications and Limitations
- The Monte Carlo method
- Machine Learning Applications in Finance (3 hours)
- Overview of Machine Learning in Finance
- Gaussian Process Regression.
- Some applications in Finance
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Verification: Assignment
Prerequisites: Python or MATLAB programming