The course aims to give the main mathematical tools for the pricing problems in financial markets under uncertainty.
Differential Calculus, Linear Algebra, Nonlinear Programming, elements of Integral Calculus and Probability Theory.
1)Recallings on certain cash flow streams in the market.
2)The theory of choice under uncertainty: Expected utility and risk aversion, stochastic dominance, mean-variance criterion.
3) Option pricing in discrete time: Stochastic processes, filtrations and martingales. Arbitrage and fundamental theorems of asset pricing. The binomial and the trinomial models. Optimal stopping for American options.
1)Teaching material provided the teacher .
2)Roman (2012), Introduction to the Mathematics of Finance. Springer
3) Pascucci- Runggaldier (2009), Finanza Matematica, Springer
Written and oral exams