Course code:
Academic year:
Course title:
Advanced Financial Mathematics I
Module:
Teacher 1:
Teacher 1:
Splitting 1:
Module 1:
Type 1:
Reference sector:
Year of degree course:
According to Study Programme
Faculty:
Type:
Semester:
Sub period:
Total credits:
Workload
| Attività frontale: Lectures: |
24.0 |
|
|
| Esercitazioni: Applied activities: |
0.0 |
|
|
| Studio individuale: Individual work: |
51.0 |
|
|
| Attività didattica a piccoli gruppi: Group work: |
0.0 |
|
|
|
|
| Seminari: Seminars: |
0.0 |
|
|
|
|
| Laboratori: Laboratories: |
0.0 |
|
|
| TOTALE (voci sopra-elencate): TOTAL: |
75.0 |
|
|
| Ore di lezione settimanali: |
6.0 |
Prerequisites:
As a minimum, knowledge of the topics covered in the courses on IT for Finance and Advanced Financial Mathematics.
Educational goals:
The aim of the course is to increase knowledge of derivatives both through an analysis of certain modes of behaviour of the variables involved in pricing and by studing some of the more complex derivatives.
Course contents:
The phenomenon of volatility smile in option prices will be examined and estimation volatility models will be presented. Derivatives on interest rates will also be studied.
Course text 1:
Teaching activities:
Lectures; applied activities
Assessment:
oral
Oral exam.
Teaching language:
Italian
Other information:
SUB-PERIOD VI