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.
Study Plan
This information is intended exclusively for students already enrolled in this course.If you are a new student interested in enrolling, you can find information about the course of study on the course page:
Laurea magistrale in Banca e finanza - Enrollment from 2025/2026The 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 enrollment year.
1° Year
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2° Year activated in the A.Y. 2021/2022
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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.
Computational methods for finance (2021/2022)
Teaching code
4S00535
Academic staff
Coordinator
Credits
6
Language
Italian
Scientific Disciplinary Sector (SSD)
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Period
primo semestre (lauree magistrali) dal Oct 4, 2021 al Dec 17, 2021.
Learning outcomes
The course aims at analyzing the main numerical methods for derivative pricing and risk managment, in particular: - tree methods; - finite differences methods (implicit, explicit, Crank-Nicholson) - Monte Carlo methods. At the end of the course, tudents are able to efficiently implement the previous methods, by using Matlab. Although no formal prerequisites is needed, the knowledge of the topics related to Stochastic Models for Finance and Mathematical Finance is strongly recommended.
Program
The course is devoted to introducing the main numerical methods used for the calculation of financial quantities, for the evaluation of derivative instruments and for the management of financial risk. These numerical methods will be developed with Matlab software.
In particular, the following topics will be covered:
- Tree methods for derivatives evaluation.
- Monte Carlo methods: Euler scheme for the simulation of stochastic processes.
- Finite difference methods for the evaluation of European and American derivatives.
Bibliography
Examination Methods
The final exam is a written test: programming exercises and open questions.
The possibility to participate remotely to the exam is guaranteed for all the requesting students.
The content, the allowed time and the evaluation criteria of the test will be the same both for the students in the classroom and for the remote ones.
