Advanced Topics in Financial Mathematics

A.Y. 2024/2025
6
Max ECTS
42
Overall hours
SSD
SECS-S/06
Language
Italian
Learning objectives
Two central topics of Mathematical Finance: the theory of risk measures and the valuation of contingent claims in incomplete markets by utility maximization and indifference pricing.
Expected learning outcomes
Methods of convex analysis and optimization. Pricing and hedging of financial instruments.
Single course

This course can be attended as a single course.

Course syllabus and organization

Single session

Responsible
Lesson period
First semester
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES - University credits: 6
Lessons: 42 hours
Professor: Frittelli Marco
Shifts:
Turno
Professor: Frittelli Marco
Professor(s)
Reception:
on appointment
Office 1043, first floor, Math. Dept., Via Saldini 50.