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MATHEMATICAL MODELS FOR INVESTMENT DECISIONS Single discipline educational activity
Course Sheet Academic Year of enrolment:
Disciplinary Sector:
MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Professor and Collaborators:
CAROLI COSTANTINI Cristina
Hours of classroom activity:
Prerequisites:
No specific foundation course is required but only some notions of probability theory, stochastic processes and financial mathematics.
Objectives Contents Stochastic control of diffusion processes and applications in finance. Introduction to interest rate models.
Extended Syllabus Stochastic control of diffusion processes, both with finite and infinite horizon.
Recommended Bibliography Pham, H.: Continuous-time Stochastic Control and Optimization with Financial Applications, Springer 2009
Methods of Provision Teaching Methods classroom-taught lessons where theoretical aspects of the discipline are investigated
Evaluation methods Verification of learning:
The exam is oral. Questions will spring from some problems on which the students will have worked autonomously during the course.
Contacts/More Information Office hours:
