Course teached as: B028397 - WORKSHOP IN PROBABILITY FOR ECONOMICS AND FINANCE 3-years First Cycle Degree (DM 270/04) in ECONOMICS AND TRADE Curriculum ECONOMICS
Teaching Language
English
Course Content
Introduction to probability and mathematical statistics with a special focus on economic and financial applications.
Notes and materials will be provided during the course
Learning Objectives
The students will be able to solve simple problems where the random model is required for economic and financial applications. They will be able to formalize the problem, solve it and present their results.
Prerequisites
Basic Calculus
Teaching Methods
Classroom lectures and homeworks
Further information
A positive grade (greater or equal 27/30) in the workshop will be valued as sufficient to meet the requirements of the preliminary test in Probability for the course in Quantitative Finance and Derivatives (MSc Finance and Risk Management)
Type of Assessment
Attending students:
Intermediate Tests and Final Presentation
Non Attending students: Final written exam with exercises on the whole program
Course program
Combinatorics, probability and conditional probability, independency, Bayes formula will be introduced motivated by the applications in economics and financial markets. Lotteries and probabilistic paradoxes.
Discrete random variables, and their distributions: Bernoulli, Binomial, Geometric, Poisson distributions.
Applications to statistical inference, VaR, financial default.
Random models: random walk and Markov chain. Applications: asset price models, option pricing, credit rating.
Continuous random variables. Basic elements of integration theory. Uniform, Exponential, Normal distributions.
Expectation, variance, skewness, curtosis.
Gaussian approximation. Application to finance and risk management.