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
Attendance (virtual or in presence) is strongly suggested
Type of Assessment
Homeworks, projects and oral exam
Course program
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.