Course teached as: B019187 - PORTFOLIO CHOICE AND OPTIMIZATION Second Cycle Degree in FINANCE AND RISK MANAGEMENT
Teaching Language
English
Course Content
This course will present some mathematical models and associated numerical methods that are commonly used in Finance for optimal portfolio selection, derivatives pricing and hedging and risk management.
Mod A (Prof. Scandolo): Binomial models, MonteCarlo methods, finite difference schemes.
Mod B (Prof. Zezza): optimization problems in Finance, linear programming, integer programming.
(see E-Learning for the detailed programmes)