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ADDITIONAL IT TRAINING
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ADDITIONAL IT TRAINING
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Academic year 2020/2021
- Course ID
- SEM0046
- Teacher
- Luca Regis (Lecturer)
- Degree course
- Finance
Insurance and Statistics - Year
- 1st year
- Teaching period
- Second semester
- Type
- Elective
- Credits/Recognition
- 3
- Course disciplinary sector (SSD)
- SECS-S/01 - statistica
SECS-S/06 - metodi matematici dell'economia e delle scienze att. e finanz. - Delivery
- Formal authority
- Language
- English
- Attendance
- Obligatory
- Type of examination
- Oral
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Sommario del corso
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Course objectives
The course aims at presenting the main numerical techniques used in financial applications. It covers both programming introduction and financial applications.- Oggetto:
Results of learning outcomes
Ability to handle numerical techniques suitable for financial problems in Matlab.- Oggetto:
Course delivery
The course is articulated in 24 hours of formal lecture time, and in hours of at‐home work. Classes for the a.y. 2020/21 will be taught online, in synchronous mode, every tuesday and friday 3-6 pm, starting from Tuesday, February 16th.Please download the last version of Matlab (R2020b) using Unito campus licence and be ready to work on the software during classes.
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Learning assessment methods
Weekly assignments will have to be delivered during the course. They will constitute a coursework, to be delivered to pass the exam.
The final exam consists of a group project.
Projects must be chosen among a list that I will provide 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.
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Support activities
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Program
- 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
Suggested readings and bibliography
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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:
P. Brandimarte, 2006, Numerical methods in finance and economics: a MATLAB-based introduction, Wiley.
P. Glasserman, 2003, Monte Carlo Methods in Financial Engineering, Spinger.- Oggetto:
Class schedule
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Note
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