With this function you can construct your weekly calendar of lessons, which is customized on the basis of the courses that you intend to follow. Warning: the personal schedule does not replace the presentation of the study plan! It's an informal tool that can help you better manage the organization of class attendance before the study plan presentation. After the study plan presentation we recommend you to use the Lecture timetable service in your Online Services.
To create your customized schedule follow these instructions:
- Click on the "Enable" link to proceed. You will be asked your surname and first name in order to determine your alphabetic grouping.
-
To add or remove courses from your personal schedule, use the small icons which are found next to the courses:
addition of the course
removal of the course
selection of the section of the Laboratory of Architecture (Note: the effective area in which the teaching will be carried out will be determined after the presentation of the Study Plans)
-
The sidebar on the left displays the number of lessons included in schedule.
There are also these commands:
View the schedule: allows the viewing of the weekly synoptic schedule
Delete the schedule: cancels the selections made
When you have finished the entry, you can print the calendar you have made.
Semester (Sem) | 1 | First Semester | 2 | Second Semester | A | Annual course | Educational activities | C | Similar or integrative activities | B | Identifying 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
|
|
Academic Year
|
2019/2020
|
School
|
School of Industrial and Information Engineering
|
Name
|
(Master of Science degree)(ord. 270) - MI (487) Mathematical Engineering
|
Track
|
MMF - Quantitative Finance
|
Programme Year
|
2
|
ID Code
|
097658
|
Course Title
|
COMPUTATIONAL FINANCE
|
Course Type
|
Mono-Disciplinary Course
|
Credits (CFU / ECTS)
|
10.0
|
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: Lévy processes: basic properties, Lévy-Kintchine representation formula, estimation problems simulation of Lévy 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
|
5.0
|
C
|
SECS-S/06
|
MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
|
5.0
|
|
Schedule, add and remove | Alphabetical group | Professor | Language | Course details |
---|
From (included) | To (excluded) |
---|
-- | A | ZZZZ | Marazzina Daniele |  |  |
|
|