ISTITUZIONI DI ANALISI SUPERIORE

Degree course: 
Corso di First cycle degree in MATHEMATICS
Academyc year when starting the degree: 
2012/2013
Year: 
3
Academyc year when helding the course: 
2014/2015
Course type: 
Compulsory subjects, characteristic of the class
Credits: 
8
Period: 
Second semester
Standard lectures hours: 
80
Detail of lecture’s hours: 
Lesson (80 hours)
Requirements: 

Measurement theory and Probability.

Assessment: 
Voto Finale

Mathematica techniques for calculating the prices of financial derivatives.

Basic concepts about derivatives. Fundamentals of Stochastic Analysis. Formulas and algorithms for the calculation of prices of the options. PDE with boundary problems. Black and Scholes theorem.
Frontal lectures.

Reference textbook: Lishang Jiang, Mathematical Modeling and Methods of Option Pricing.
Oral examination.