Master’s degree in Banking and Finance

Computational methods for finance

Course code
4S00535
Name of lecturer
Maria Flora
Coordinator
Maria Flora
Number of ECTS credits allocated
6
Academic sector
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Language of instruction
Italian
Site
VERONA
Period
primo semestre (lauree magistrali) dal Oct 5, 2020 al Dec 23, 2020.

Lesson timetable

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Learning outcomes

The course aims at analyzing the main numerical methods for derivative pricing and risk managment, in particular: - tree methods; - finite differences methods (implicit, explicit, Crank-Nicholson) - Monte Carlo methods. At the end of the course, tudents are able to efficiently implement the previous methods, by using Matlab. Although no formal prerequisites is needed, the knowledge of the topics related to Stochastic Models for Finance and Mathematical Finance is strongly recommended.



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