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.
Numerical methods for mathematical finance (seminar course) (2014/2015)
Teaching code
4S001114
Teacher
Coordinatore
Credits
6
Scientific Disciplinary Sector (SSD)
MAT/08 - NUMERICAL ANALYSIS
Language
Italian
Period
II sem. dal Mar 2, 2015 al Jun 12, 2015.
Learning outcomes
In this course we will study basic numerical methods for option pricing.
Program
Binary Trees
- riskless portfolio
- risk neutral probability
- calibrating the tree
Continuous Time
- Geometric Brownian Motion
- the Black-Scholes PDE
- Feynman-Kac and risk-neutrality
Estimating the Volatility from historical data
Acceleration of the backfolding of the tree using the FFT
Other fast(er) methods for trees
Path Dependent Options using a Tree
- Lookback Puts and Calls
- the Cheuk-Vorst algorithm
- American Lookback options
Numerical Methods for Advection-Diffusion Equations
- Euler Explicit
- Euler Implicit
- Crank-Nicholson
- application to the Black-Scholes PDE
Asian Options
- an associated PDE
- eliminating the advection term
American Options
- linear complementary problems
- numerical solution
The Carr-Madan Fourier algorithm (for a call)
Jump Diffusion Models
- compound Poisson processes and their simulation
- the Merton Model
- the Merton formula
- the Carr-Madan algorithm for the Merton Model
- American options under the Merton Model
The fast Gauss Transform and its application to Option Pricing
Calibration using Hisorical Data
- the Schwartz Mean Reverting Model for Comodities
- its calibration using Forward Prices
Monte Carlo Methods
- accelerations
- application to Basket Options
Discretization of SDEs
- Euler discretization
- Milstein discretization
Examination Methods
The final mark will be bsed on homework assignments as well as a project completed by the student.
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.
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 |
|
4. Regolamento tesi (valido da luglio 2020)
|
259 KB, 29/07/21 |
|
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 |
Gestione carriere
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!
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 |
|
3. Sostituzione insegnamenti a UNIVR - Courses replacement at UNIVR
|
113 KB, 30/08/21 |
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.