Financial Market Mathematics (2008/2009)

  1. Home
  2. Teaching
  3. Bachelor's degree
  4. Degree in Applied Mathematics (until a.y. 2008/2009)
  5. Insegnamenti

Course Not running, not visible

Spazio Moodle non più disponibile
Course code
4S00251
Credits
8
Coordinator
Angelica Gianfreda
Course news Seminars related to the course
Teaching is organised as follows:
Unit Credits Academic sector Period Academic staff
Prima parte 4 SECS-S/06-MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES 2° Q Angelica Gianfreda
Seconda parte 4 SECS-S/06-MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES 2° Q Angelica Gianfreda

Learning outcomes

Module: Prima parte
-------
--


Module: Seconda parte
-------
--

Syllabus

Module: Prima parte
-------
The first part of this module refers to the following topics:

1. Financial Markets and Financial Agents.
2. Definitions and Classifications of Financial Instruments: Bonds, Stocks, Forwards (Futures) and Options. Descriptions of features and undelying assets.
3. The Arbitrage Principle and Market Completeness. Definitions and Applications to: i) determine the Forward Price, ii) derive the Call—Put Parity, iii) study Options with different maturities, iv) compare European and American Options.
4. Some notions on how to use these derivatives, how to combine them and trading strategies.

Core Reading:

- John Hull, "Options, Futures, and Other Derivatives", Sixth Edition
- Marek Capinski and Tomasz Zastawniak, "Mathematics for Finance: An Introduction to Financial Engineering", Springer, ISBN 1-85233-330-8
- Simon Benninga, "Financial Modeling", McGraw-Hill (optional)
- Lecture Notes


Module: Seconda parte
-------
The second part of this module refers to the following topics:

1. Option Pricing: binomial model with one, two or few steps and with one or more stocks. 2. The Risk--Neutral Valuation, Backward Induction, Self--financing strategies, Static and Dynamic Hedging. 3. Valuation of European and American Options. 4. From the CRR model to the Black--Scholes (BS) Model. Alternative derivation of BS equation from the Heat Equation. 5. Interest rates: from discrete to continuous time. Few discrete models.

Core Reading:

- John Hull, "Options, Futures, and Other Derivatives", Sixth Edition
- Marek Capinski and Tomasz Zastawniak, "Mathematics for Finance: An Introduction to Financial Engineering", Springer, ISBN 1-85233-330-8
- Simon Benninga, "Financial Modeling", McGraw-Hill (optional)
- Lecture Notes

Assessment methods and criteria

Module: Prima parte
-------
The final exam is based on a written exam paper and an oral examination.


Module: Seconda parte
-------
The final exam is based on a written exam paper and an oral examination.

Share