Università degli Studi di Napoli "Parthenope"

Teaching schedule

Academic year: 
2016/2017
Belonging course: 
Course of Master's Degree Programme on METODI QUANTITATIVI PER LE DECISIONI AZIENDALI
Location: 
Napoli
Disciplinary sector: 
MATHEMATICAL METHODS OF ECONOMY, FINANCE AND ACTUARIAL SCIENCES (SECS-S/06)
Credits: 
9
Year of study: 
1
Teachers: 
Cycle: 
Second semester
Hours of front activity: 
72

Language

Course description

The course aims to give the main mathematical tools for the pricing problems in financial markets under uncertainty.

Prerequisites

Differential Calculus, Linear Algebra, Nonlinear Programming, elements of Integral Calculus and Probability Theory.

Syllabus

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.

Teaching Methods

Textbooks

1)Teaching material provided the teacher .
2)Roman (2012), Introduction to the Mathematics of Finance. Springer
3) Pascucci- Runggaldier (2009), Finanza Matematica, Springer

Learning assessment

Written and oral exams

More information