Advanced mathematical models in finance

ADVANCED MATHEMATICAL MODELS IN FINANCE (Master Level, Management Engineering)

Prof. Roberto Baviera in collaboration with dr. Laura Locatelli (Unicredit) & Matteo Gardini (Plenitude)

AIM of the Course:

The course will allow the student to address portfolio decisions designing an asset management strategy; to understand equilibrium and no arbitrage pricing techniques (stocks and derivatives); to understand how to manage risk through mathematical models. More in detail, the student will learn to build the portfolio frontier and to define an asset management strategy; to use equilibrium and no arbitrage techniques for pricing stocks; to price and hedge financial derivatives (equity and interest rate); to find proper modeling assumption to describe a financial asset (stock, interest rate, volatility, commodities, etc.); to know how to manage risk of stocks financial derivatives in a financial institution.