Insegnamento mutuato da: B019187 - PORTFOLIO CHOICE AND OPTIMIZATION Laurea Magistrale in FINANCE AND RISK MANAGEMENT - FINANZA E GESTIONE DEL RISCHIO
Lingua Insegnamento
English
Contenuto del corso
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)