Mathematical Finance 2
A.Y. 2024/2025
Learning objectives
Aim of this course is to cover some of the most important topics of Mathematical Finance in continuous time involving techniques related to Stochastic Calculus and dynamical optimization.
Expected learning outcomes
Pricing and hedging using probabilistic/analytic methods, of financial derivatives in complete/incomplete markets, described by diffusion time-continuous processes.
Resolution of some problems concerning dynamic optimization, using optimal control/stopping methods.
Resolution of some problems concerning dynamic optimization, using optimal control/stopping methods.
Lesson period: Second semester
Assessment methods: Esame
Assessment result: voto verbalizzato in trentesimi
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
Responsible
Lesson period
Second semester
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES - University credits: 6
Lessons: 42 hours
Professors:
Frittelli Marco, Maggis Marco
Professor(s)
Reception:
on appointment
Office 1043, first floor, Math. Dept., Via Saldini 50.