Programa

Mathematical Methods in Finance

Mestrado Bolonha em Matemática Financeira

Programa

- Overview of differential and integral calculus - Optimization in Rn - Basic concepts of option theory - European and American options. The Black-Scholes model - Partial differential equations - The Black-Scholes equation. Explicit solution - American options as free boundary problems and variational inequalities - The random nature of the stock market. Itô formula. - Lattice methods for valuing financial derivatives - Introduction to Monte Carlo method