Studying at the University of Verona
Here you can find information on the organisational aspects of the Programme, lecture timetables, learning activities and useful contact details for your time at the University, from enrolment to graduation.
Academic calendar
The academic calendar shows the deadlines and scheduled events that are relevant to students, teaching and technical-administrative staff of the University. Public holidays and University closures are also indicated. The academic year normally begins on 1 October each year and ends on 30 September of the following year.
Course calendar
The Academic Calendar sets out the degree programme lecture and exam timetables, as well as the relevant university closure dates..
| Period | From | To |
|---|---|---|
| I sem. | Oct 1, 2014 | Jan 30, 2015 |
| II sem. | Mar 2, 2015 | Jun 12, 2015 |
| Session | From | To |
|---|---|---|
| Sessione straordinaria appelli d'esame | Feb 2, 2015 | Feb 27, 2015 |
| Sessione estiva appelli d'esame | Jun 15, 2015 | Jul 31, 2015 |
| Sessione autunnale appelli d'esame | Sep 1, 2015 | Sep 30, 2015 |
| Session | From | To |
|---|---|---|
| Sessione autunnale appello di laurea 2014 | Oct 23, 2014 | Oct 23, 2014 |
| Sessione invernale appello di laurea 2015 | Mar 17, 2015 | Mar 17, 2015 |
| Sessione estiva appello di laurea 2015 | Jul 21, 2015 | Jul 21, 2015 |
| Sessione autunnale appello di laurea 2015 | Oct 12, 2015 | Oct 12, 2015 |
| Sessione invernale appello di laurea 2016 | Mar 15, 2016 | Mar 15, 2016 |
| Period | From | To |
|---|---|---|
| Vacanze di Natale | Dec 22, 2014 | Jan 6, 2015 |
| Vacanze di Pasqua | Apr 2, 2015 | Apr 7, 2015 |
| Ricorrenza del Santo Patrono | May 21, 2015 | May 21, 2015 |
| Vacanze estive | Aug 10, 2015 | Aug 16, 2015 |
Exam calendar
Exam dates and rounds are managed by the relevant Science and Engineering Teaching and Student Services Unit.
To view all the exam sessions available, please use the Exam dashboard on ESSE3.
If you forgot your login details or have problems logging in, please contact the relevant IT HelpDesk, or check the login details recovery web page.
Should you have any doubts or questions, please check the Enrolment FAQs
Academic staff
Squassina Marco
marco.squassina@univr.it +39 045 802 7913
Study Plan
The Study Plan includes all modules, teaching and learning activities that each student will need to undertake during their time at the University. Please select your Study Plan based on your enrolment year.
| Modules | Credits | TAF | SSD |
|---|
1° Year
| Modules | Credits | TAF | SSD |
|---|
| Modules | Credits | TAF | SSD |
|---|
Legend | Type of training activity (TTA)
TAF (Type of Educational Activity) All courses and activities are classified into different types of educational activities, indicated by a letter.
Mathematical finance (2014/2015)
Teaching code
4S001109
Credits
6
Coordinatore
Scientific Disciplinary Sector (SSD)
MAT/06 - PROBABILITY AND STATISTICS
Language
English
The teaching is organized as follows:
Teoria 1
Teoria 2
Esercitazioni
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Learning outcomes
The Mathematical Finance course for the internationalized Master's Degree (delivered completely in English) aims to introduce the main concepts of stochastic discrete and continuous time part of the modern theory of financial markets. In particular, the fundamental purpose of the course is to provide the mathematical tools characterizing the setting of Itȏ stochastic calculus for the determination, the study and the analysis of models for options and / or interest rates determined by stochastic differential equations driven by Brownian motion. Basic ingredients are the foundation of the theory of continuous-time martingale, Girsanov theorems and the Faynman-Kac theorem and their applications to the theory of option pricing with specific examples in equities, also considering path-dependent options, and within the framework of interest rates models.
Program
Discrete time models
• Contingent claims, value process, hedging strategies, completeness, arbitrage
• Fundamental theorems of Asset Pricing (in discrete time)
The Binomial model for Assset Pricing
• One period / multiperiod Binomial model
• A Random Walk (RW) interlude (scaled RW, symmetric RW, martingale property and quadratic variation of the symmetric RW, limiting distribution)
• Derivation of the Black-Scholes formula (continuous-time limit)
Brownian Motion (BM)
• review of the main properties of the BM: filtration generated by BM, martingale property, quadratic variation, volatility, reflection properties, etc.
Stochastic Calculus
• Itȏ's integral
• Itȏ-Döblin formula
• Black-Scholes-Merton Equation
• Evolution of Portfolio/Option Values
• Solution to the Black-Scholes-Merton Equation
• Sensitivity analysis
Risk-Neutral Pricing
• Risk-Neutral Measure and Girsanov's Theorem
• Pricing under the Risk-Neutral Measure
• Fundamental Theorems of Asset Pricing
• Existence/uniqueness of the Risk-Neutral Measure
• Dividend/continuously-Paying
• Forwards and Futures
Stochastic Differential Equations
• The Markov Property
• Interest Rate Models
• Multidimensional Feynman-Kac Theorems
• Lookback, Asian, American Option
Term structure models
• Affine-Yield Models
• Two-Factor Vasicek Model
• Two-Factor CIR Model
• Heath-Jarrow-Morton (HJM) Model
• HJM Under Risk-Neutral Measure
Examination Methods
There will be a written final exam.
Type D and Type F activities
Modules not yet included
Career prospects
Module/Programme news
News for students
There you will find information, resources and services useful during your time at the University (Student’s exam record, your study plan on ESSE3, Distance Learning courses, university email account, office forms, administrative procedures, etc.). You can log into MyUnivr with your GIA login details.
Gestione carriere
Attendance
As stated in point 25 of the Teaching Regulations for the A.Y. 2021/2022, except for specific practical or lab activities, attendance is not mandatory. Regarding these activities, please see the web page of each module for information on the number of hours that must be attended on-site.Please refer to the Crisis Unit's latest updates for the mode of teaching.
Graduation
Attachments
| Title | Info File |
|---|---|
1. Come scrivere una tesi
|
31 KB, 29/07/21 |
|
2. How to write a thesis
|
31 KB, 29/07/21 |
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4. Regolamento tesi (valido da luglio 2020)
|
259 KB, 29/07/21 |
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5. Regolamento tesi (valido da luglio 2022)
|
256 KB, 29/07/21 |
List of theses and work experience proposals
| theses proposals | Research area |
|---|---|
| Controllo di sistemi multiagente | Calculus of variations and optimal control; optimization - Hamilton-Jacobi theories, including dynamic programming |
| Controllo di sistemi multiagente | Calculus of variations and optimal control; optimization - Manifolds |
| Controllo di sistemi multiagente | Calculus of variations and optimal control; optimization - Optimality conditions |
| Formule di rappresentazione per gradienti generalizzati | Mathematics - Analysis |
| Formule di rappresentazione per gradienti generalizzati | Mathematics - Mathematics |
| Mathematics Bachelor and Master thesis titles | Various topics |
| Stage | Research area |
|---|---|
| Internship proposals for students in mathematics | Various topics |
Alternative learning activities
In order to make the study path more flexible, it is possible to request the substitution of some modules with others of the same course of study in Mathematics at the University of Verona (if the educational objectives of the modules to be substituted have already been achieved in the previous career), or with others of the course of study in Mathematics at the University of Trento.Attachments
| Title | Info File |
|---|---|
|
1. Convenzione | Learning Agreement UNITN - UNIVR
|
167 KB, 27/08/21 |
|
2. Sostituzione insegnamenti a UNITN - Courses replacement at UNITN
|
44 KB, 30/08/21 |
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3. Sostituzione insegnamenti a UNIVR - Courses replacement at UNIVR
|
113 KB, 30/08/21 |
Double degree
The University of Verona, through a network of agreements with foreign universities, offers international courses that enable students to gain a Double/Joint degree at the time of graduation. Indeed, students enrolled in a Double/Joint degree programme will be able to obtain both the degree of the University of Verona and the degree issued by the Partner University abroad - where they are expected to attend part of the programme -, in the time it normally takes to gain a common Master’s degree. The institutions concerned shall ensure that both degrees are recognised in the two countries.
Places on these programmes are limited, and admissions and any applicable grants are subject to applicants being selected in a specific Call for applications.
The latest Call for applications for Double/Joint Degrees at the University of Verona is available now!
Further services
I servizi e le attività di orientamento sono pensati per fornire alle future matricole gli strumenti e le informazioni che consentano loro di compiere una scelta consapevole del corso di studi universitario.