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Università degli Studi di Pavia - Department of Economics and Management

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Quantitative finance

Teachers:
Maria Elena De Giuli
Year:
2016/2017
ECTS:
9
SSD:
SECS-P/01

Course content

This is a course in the applied aspects of mathematical finance,in particular derivative pricing. The theory of stochastic differential equation is the main mathematical tool used in this course. We cover the basic Black-Scholes-Merton theory and we extend it to the case of several underlying assets (including stochastic interest rate) as well as to dividend paying assets. Interest rate theory constitues a substantial part of the course. It is expected the learning of the basic elements of quantitative finance to understand how financial markets work and how complex financial instruments can be assessed. Following a practical risk management approach to derivatives, various exercises will be discussed. MATLAB tools will be used for the computational work.

For further information, see the Online Courses Catalogue

Course material: see the KIRO Platform.


Credits: apnetwork.it