logo-polimi
Loading...
Degree programme
Programme Structure
Show/Search Programme
Course Details
Save Document
Degree Programme
Degree Programme not available
Faculty
Infrastructures
Quantitative data
International context
Customized Schedule
Your customized time schedule has been disabled
Enable
Search
Search a Professor
Search a Course
Search a Course (system prior D.M. n. 509)
Search Lessons taught in English

Glossary
Semester (Sem)
1First Semester
2Second Semester
AAnnual course
Educational activities
BIdentifying activities
CSimilar or integrative activities
Language
Course completely offered in italian
Course completely offered in english
--Not available
Innovative teaching
The credits shown next to this symbol indicate the part of the course CFUs provided with Innovative teaching.
These CFUs include:
  • Subject taught jointly with companies or organizations
  • Blended Learning & Flipped Classroom
  • Massive Open Online Courses (MOOC)
  • Soft Skills
Course Details
Context
Academic Year 2014/2015
School School of Industrial and Information Engineering
Name (Master of Science degree)(ord. 270) - MI (403) Mathematical Engineering
Track MSC - Scienze computazionali per l'ingegneria
Programme Year 2

Course Details
ID Code 095979
Course Title COMPUTATIONAL FINANCE
Course Type Mono-Disciplinary Course
Credits (CFU / ECTS) 8.0
Semester First Semester
Course Description Numerical Methods for Finance Monte Carlo simulation: random number generators, uniform distribution or other distributions. Quasi Monte Carlo methods. Simulation of continuous processes: methods based on transition probabilities and Euler and Milstein numerical schemes. Simulation of processes with jumps. Variance reduction techniques and pricing of exotic options. Regressive methods, Longstaff and Schwarz algorithm for the valuation of American options. Methods for PDE : Finite Difference and Finite Elements: variational formulation and Galerkin type methods; finite element method and theta-method; evaluation of European options and barrier. Approximation of Greeks . Projected SOR method for the valuation of American options. Advanced methods for PDEs: numerical schemes for exotic options . Numerical schemes for partial differential equations with integral differential term. Method of Lines. FFT: methods based on the use of the characteristic function: Carr-Madan algorithm and subsequent generalizations. Calibration: calibration of models and implied volatility . Advanced Models for Pricing Models with jumps: LÚvy processes: basic properties, LÚvy-Kintchine representation formula, estimation problems simulation of LÚvy processes with finite and infinite activity. Introduction to stochastic calculus for processes with jumps: predictable compensator and counting measure . Stochastic Volatility Models : local volatility models and Dupire formula; Heston, Hull-White, Stein and Stein models. The SABR model. Calibration of stochastic volatility models. Advanced Approaches for Credit Risk Models for Energy Finance Advanced models for credit risk and energy finance (Gibson and Schwartz Two Factor Model, Schwartz Three Factor Model). The Copulas and their limitations.
Scientific-Disciplinary Sector (SSD)
Educational activities SSD Code SSD Description CFU
B,C
MAT/08
NUMERICAL ANALYSIS
4.0
C
SECS-S/06
MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
4.0

Schedule, add and removeAlphabetical groupProfessorLanguageCourse details
From (included)To (excluded)
--AZZZZMarazzina Daniele
manifesti v. 3.1.9 / 3.1.9
Area Servizi ICT
07/12/2019