Mathematical Finance 2
A.Y. 2025/2026
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 can be attended as a single course.
Course syllabus and organization
Single session
Course syllabus
The syllabus is shared with the following courses:
- [FBQ-23](https://www.unimi.it/en/ugov/of/af20260000fbq-23)
- [FBQ-23](https://www.unimi.it/en/ugov/of/af20260000fbq-23)
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES - University credits: 6
Lessons: 42 hours
Professors:
Doldi Alessandro, Maggis Marco
Professor(s)
Reception:
On appointment
Department of Mathematics, office number 1038