Laboratory "numerical Finance and Option Pricing"
A.Y. 2018/2019
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.
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
Lesson period: Second trimester
Assessment methods: Giudizio di approvazione
Assessment result: superato/non superato
Single course
This course cannot be attended as a single course. Please check our list of single courses to find the ones available for enrolment.
Course syllabus and organization
Single session
Lesson period
Second trimester
ATTENDING STUDENTS
Course syllabus
NON-ATTENDING STUDENTS
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
* 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
Course syllabus
attending the classes of Lab is mandatory
SECS-S/01 - STATISTICS - University credits: 3
Laboratory activity: 20 hours
Professor:
Iacus Stefano Maria