- Docente: Salvatore Federico
- Credits: 6
- SSD: MAT/06
- Language: English
- Teaching Mode: Traditional lectures
- Campus: Bologna
- Corso: Second cycle degree programme (LM) in Applied Economics and Markets (cod. 5969)
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from Sep 16, 2024 to Oct 15, 2024
Learning outcomes
At the end of the course the student will have acquired the knowledge of basic tools of probability theory and stochastic processes necessary for the study of economic and financial applications. In particular, the student will be familiar with the theory of probability spaces, conditional expectation, fundamental theorems on convergence of sequence of stochastic variables and the theory of stochastic processes used in finance and in risk management.
Course contents
- Recaps of basic probability topics in discrete spaces. Probability spaces, random variables, independence, measurability, expected value and conditional expected value. Convergence and law of large numbers.
- Stochastic processes in discrete time and discrete spaces. General notions. Filtrations. Martingales and random walks.
- Math finance in discrete time. One-period market models. Valuation and hedging of derivatives. Fundamental theorems of asset pricing. Multi-periodal models. Binomial model and extension.
Readings/Bibliography
- Dispense del docente su Virtuale
- Bjork T., Arbitrage theory in continuous time (Third edition), Oxford University Press, 2009.
- A. Pascucci e W. Runggaldier, Finanza matematica. Teoria e problemi per modelli multiperiodali. Springer Unitext (2009).
Teaching methods
Frontal lectures
Assessment methods
Oral exam
Teaching tools
Virtuale
Office hours
See the website of Salvatore Federico