Numerical and Statistical Methods for Finance

A.Y. 2017/2018
6
Max ECTS
40
Overall hours
SSD
MAT/06 SECS-S/01
Language
English
Learning objectives
The goal of this course is to set the bases of modern quantitative and numerical finance based on a statistical approach. Students will learn advanced numerical and statistical techniques useful to modern option pricing and simulation of stochastic financial systems as well as the elements of stochastic calculus useful in subsequents courses of the study program.
Expected learning outcomes
Undefined
Course syllabus and organization

Single session

Responsible
Lesson period
Second trimester
ATTENDING STUDENTS
Course syllabus
Principles of Ito calculus and stochastic differential equations.
Introduction to the Black&Scholes model of option pricing.
Random number generation and variance reduction techniques.
Explorative data analysis for time series and lead-lag estimation.
Calibration and estimation of financial models from financial data via quasi-maximum likelihood estimation and the LASSO method.
Volatility estimation and monitoring.
Monte Carlo methods with applications to (european and asian) option pricing.
Lévy process: statistical fitting, simulation and option pricing.
NON-ATTENDING STUDENTS
Course syllabus
Principles of Ito calculus and stochastic differential equations.
Introduction to the Black&Scholes model of option pricing.
Random number generation and variance reduction techniques.
Explorative data analysis for time series and lead-lag estimation.
Calibration and estimation of financial models from financial data via quasi-maximum likelihood estimation and the LASSO method.
Volatility estimation and monitoring.
Monte Carlo methods with applications to (european and asian) option pricing.
Lévy process: statistical fitting, simulation and option pricing.
MAT/06 - PROBABILITY AND STATISTICS - University credits: 0
SECS-S/01 - STATISTICS - University credits: 0
Lessons: 40 hours
Professor(s)