Notes and materials will be provided during the course
Obiettivi Formativi
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.
Prerequisiti
Basic Calculus
Metodi Didattici
Classroom lectures and homeworks
Altre Informazioni
Attendance (online or in presence) is higly suggested
Modalità di verifica apprendimento
Homeworks, projects and oral exam
Programma del corso
Random models. 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, Bernoulli, Binomial, Geometric, Poisson distributions.
Applications to statistical inference, VaR, financial default.
Elementary stochastic processes: 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.