Quantitative Finance and Insurance

The course aims at presenting the main numerical techniques used in financial applications. It covers both programming introduction and financial applications.

Ability to handle numerical techniques suitable for financial problems in Matlab .

 The course is articulated in 24 hours of formal in‐class lecture time, and in hours of at‐home work. 

 

The final exam consists in a group project.

Projects must be chosen among a list that I will provide you by the end of the course.

Groups should be composed of max 3-4 people.

The discussion of the project will consist in a short presentation of

the project, that will be done, during the Covid-19 emergency, via Webex.

The group is also expected to deliver a short report in

pdf format, containing:

- a description of the financial and mathematical problem;

- a description of the solution of the problem;

- the explanation of the numerical algorithms adopted;

- MATLAB code scripts and user-defined functions;

- discussion of the results.

As a general rule, try to write the code in the most efficient possible way, trying

to avoid for loops when possible by vectorizing the calculations.

I will supervise the projects and assist the groups in making the code.

 

    - MATLAB Basics

    - Arrays and Matrices

    - Plots and Graphics

    - Programming in MATLAB

    - Data handling

    - Numerical methods in MATLAB

    - Generation of paths of diffusive and jump stochastic processes 

    - Monte Carlo simulation

    - Custom classes

 

 

I will provide lecture notes and slides as course material.

Further resources that can prove to be useful are the following:

MAIN ONLINE FREE RESOURCES:

https://it.mathworks.com/help/matlab/

 

ADDITIONAL BOOKS AND ARTICLES:

S. Benninga, 2011, Principles of Finance with Excel, Oxford.

J. Kienitz and D. Wetterau, 2012, Financial Modelling: Theory, Implementation and Practice with MATLAB Source, Wiley.

P. Brandimarte, 2006, Numerical methods in finance and economics: a MATLAB-based introduction, Wiley.