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ELEMENTS OF REAL ANALYSIS Course Sheet Academic Year of enrolment:
Disciplinary Sector:
Probability and Mathematical Statistics
Professor and Collaborators:
CAROLI COSTANTINI Cristina
Hours of classroom activity:
Prerequisites:
Basic notions of differential and integral calculus.
Objectives
Contents Linear algebra and optimization of functions of two variables with applications to Microeconomics and Finance.
Elements of probability and the Cox-Ross-Rubinstein model for a financial market.
Extended Syllabus Linear algebra and quadratic forms.
Optimization of functions of two variables.
Basic probability theory. Bernoulli schemes. Discrete random variables. Binomial distribution. Valuation of a derivative in the Cox-Ross-Rubinstein model by the hedging strategy and by risk-neutral valuation
Recommended Bibliography Peccati-Salsa-Squellati: Matematica per l'economia e l'azienda, Egea 2004H. Gravelle and R. Rees: Microeconomics, Financial Times press 2004
S. Ross: Calcolo delle probabilità 3/ed, Apogeo, 2014
J. C. Hull, Opzioni, futures e altri derivati, 8a edizione. Il Sole 24 ore.
Teaching Methods At least 24 hours of lectures and exercise sections.
Evaluation methods Verification of learning:
Both written and oral examinations.
Contacts/More Information