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MATHEMATICS FOR FINANCE
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MATHEMATICS FOR FINANCE
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Academic year 2014/2015
- Course ID
- ECO0165
- Teaching staff
- Paolo Ghirardato (Titolare del corso)
Bertrand Lods (Titolare del corso) - Degree course
- Finance
Insurance and Statistics - Year
- 1° anno
- Teaching period
- Primo semestre
- Type
- Caratterizzante
- Credits/Recognition
- 9
- Course disciplinary sector (SSD)
- SECS-S/06 - metodi matematici dell'economia e delle scienze att. e finanz.
- Delivery
- Tradizionale
- Language
- Italiano
- Attendance
- Obbligatoria
- Type of examination
- Scritto
- Prerequisites
- A good knowledge of basic calculus (Matematica Generale), of the foundations of probability calculus (Statistica), and of the basics of optimization and linear algebra (Metodi e Modelli I or Matematica per l'Economia)
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Sommario del corso
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Course objectives
This is an introductory course to the Theory of Probability and Stochastic Processes, with emphasis on their applications to investment and insurance decisions. Click on the link below (in "Altre Informazioni") to be taken to this course's real web page (updated regularly).
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Results of learning outcomes
This is an introductory course to the Theory of Probability and Stochastic Processes
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Learning assessment methods
Written tests (Midterm and Final)
solo scritto (durata* h.:3)
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Support activities
Almost weekly homeworks (with solutions discussed in class)
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Program
The course is divided into two parts:Part 1: Measure, Probability and basics of decision making (Ghirardato)-Foundations of measure theory. Measures, measurable functions, Lebesgue integrals, Lp spaces, theorems of Fubini and Radon-Nikodym-Applications of measure theory to probability calculus. Conditional probabilities and expectation, filtrationsPart 2: Stochastic Processes (Lods)-Martingales and their convergence-Markov chains-The Poisson process: construction and properties. Some examples-Probability measures on real-valued function spaces. The Wiener measure-Brownian motion: construction and properties. Variation in Brownian motionSuggested readings and bibliography
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The following are the required textbooks for the course: -M. Capinski e E. Kopp, Measure, Integral and Probability, Second Edition, Springer-Verlag, Berlino, 2005. -Z. Brzezniak and T. Zastawniak, Basic Stochastic Processes, Springer-Verlag, Berlino, 1999.
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Class schedule
Giorni Ore Aula Martedì 8:15 - 11:15 Aula 12 Facoltà di Economia Venerdì 8:15 - 11:15 Aula 31 Facoltà di Economia Lezioni: dal 16/09/2014 al 06/12/2014 - Oggetto:
Note
Course web site: http://web.econ.unito.it/gma/didattica/mf/mf.htm Il Corso di Studio in senso proprio è quello visualizzato all’atto dell’accesso su Campusnet. Nella videata dell’insegnamento, è indicato impropriamente come “Corso di Studio” il/i percorso/i del Corso di Laurea in cui l’insegnamento stesso è inserito.
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More information
http://web.econ.unito.it/gma/didattica/mf/mf.htm- Oggetto:
