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 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. Various exercises will be discussed.
MATLAB tools will be used for the computational work.
- Docente: MARIA ELENA DE GIULI