Financial Market Mathematics - Seconda parte (2007/2008)

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Course code
4S00251
Name of lecturer
Alessandro Sbuelz
Number of ECTS credits allocated
4
Academic sector
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Language of instruction
Italian
Location
VERONA
Period
2° Q dal Jan 10, 2008 al Mar 12, 2008.
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To show the organization of the course that includes this module, follow this link * Course organization

Lesson timetable

Learning outcomes

This course deals with the valuation and hedging of financial contracts. The task necessitates the use of sharp economic reasoning and of challenging tools taken from the fields of mathematics, probability theory, and statistics. Professionally, individuals with valuation-&-hedging skills are in great demand in any financial center worldwide.

Syllabus

The topics covered include:

• Wiener Processes and Ito’s Lemma
• The Black-Scholes-Merton Model

Theory (lectures) will be constantly exemplified by means of exercises (classroom applications).


Texts:

- Lecture notes.
- John Hull, "Options, Futures, and Other Derivatives", Sixth Edition (ISBN: 0-13-149908-4).
- Steven Shreve, "Stochastic Calculus for Finance I: Continuous-Time Models" (ISBN: 0-387-40101-6). Optional.

Assessment methods and criteria

The final grade will be formed on the basis of performance in the terminal written exam.

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