Laboratory "Numerical Finance and Option Pricing"

A.y. 2018/2019
3
Max ECTS
20
Overall hours
SSD
SECS-S/01
Language
English
Learning objectives
This course aims at giving the basic knowledge of computational finance and numerical option pricing.
Material span from basic R programming to financial advanced time series estimation.
Basic numerical differentiation and Monte Carlo analysis.
Basic stochastic models simulation and numerical option pricing.
Expected learning outcomes
Undefined
Course syllabus and organization

Single session

Responsible
Lesson period
Second trimester
ATTENDING STUDENTS
Course syllabus
Syllabus
* Basic and advanced R programming
* Introduction to explorative data analysis for financial time series
* Basics of Monte Carlo simulation
* Basics of numerical differentiation
* European option pricing
* American option pricing
NON-ATTENDING STUDENTS
Course syllabus
attending the classes of Lab is mandatory
SECS-S/01 - STATISTICS - University credits: 3
Laboratory activity: 20 hours
Professor(s)