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 |
---|---|---|
Primo semestre Magistrali | Sep 26, 2016 | Jan 13, 2017 |
Secondo Semestre Magistrali | Feb 27, 2017 | Jun 1, 2017 |
Session | From | To |
---|---|---|
Appelli esami sessione invernale | Jan 16, 2017 | Feb 17, 2017 |
Appelli esami sessione estiva | Jun 5, 2017 | Jul 7, 2017 |
Appelli esami sessione autunnale | Aug 28, 2017 | Sep 15, 2017 |
Session | From | To |
---|---|---|
Sessione autunnale | Nov 30, 2016 | Dec 1, 2016 |
Sessione invernale | Apr 5, 2017 | Apr 7, 2017 |
Sessione estiva | Sep 11, 2017 | Sep 13, 2017 |
Period | From | To |
---|---|---|
Vacanze natalizie | Dec 23, 2016 | Jan 5, 2017 |
Vacanze pasquali | Apr 14, 2017 | Apr 18, 2017 |
Vacanze estive | Aug 7, 2017 | Aug 25, 2017 |
Exam calendar
Exam dates and rounds are managed by the relevant Economics 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
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 |
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Modules | Credits | TAF | SSD |
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1° Year
Modules | Credits | TAF | SSD |
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2° Year
Modules | Credits | TAF | SSD |
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Modules | Credits | TAF | SSD |
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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.
Mathematical finance (2016/2017)
Teaching code
4S001142
Teacher
Coordinatore
Credits
9
Language
Italian
Scientific Disciplinary Sector (SSD)
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Period
Secondo Semestre Magistrali dal Feb 27, 2017 al Jun 1, 2017.
Learning outcomes
The course offers an introduction to arbitrage theory and its applications to financial derivatives pricing in discrete and continuous time.
Program
First part: No arbitrage principle in discrete time
1) Binomial model (one-period and multi-period)
a) Portfolio and arbitrage
b) No-arbitrage pricing
c) Contingent claims
d) Risk neutral valuation
2) The absence of arbitrage.
3) First and Second Fundamental Theorems.
4) Martingale pricing
5) Market completeness
Second part: No-arbitrage principle in continuous time
1) Stochastic calculus: stochastic differential equations
2) Martingales
3) Girsanov Theorem
4) Feynman-Kac Theorem
5) Self-financing portfolios.
6) No-arbitrage pricing.
7) The Black-Scholes formula and its derivation.
8) Delta-hedging.
Textbooks and references
1) Bjork, T., Arbitrage theory in continuous time, 2nd Edition, Oxford University Press, 2004.
2) F. Menoncin: Mercati finanziari e gestione del rischio. Isedi, 2006.
Author | Title | Publishing house | Year | ISBN | Notes |
---|---|---|---|---|---|
T. Bjork | Arbitrage theory in continuous time (Edizione 3) | Oxford University Press | 2009 | 978-0-199-57474-2 | |
Desmond J. Higham e Nicholas J. Higham | MATLAB Guide | SIAM | 2005 | ||
F. Menoncin | Mercati finanziari e gestione del rischio | Isedi | 2006 |
Examination Methods
There is a written test.
The test consists of exercises and one theoretical question. The use of calculators is allowed during the test. This is a closed-book test. Pass requires an 18/30 mark.
Bibliography
Type D and Type F activities
years | Modules | TAF | Teacher | |
---|---|---|---|---|
1° | Programming in Matlab | D | Not yet assigned | |
1° | Programming in SAS | D | Not yet assigned | |
1° | Programming Stata (3 cfu) | D | Not yet assigned | |
1° 2° | Advanced Excel Laboratory (Verona) | D |
Marco Minozzo
(Coordinatore)
|
|
1° 2° | Excel Laboratory (Verona) | D |
Marco Minozzo
(Coordinatore)
|
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.
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.
Graduation
List of theses and work experience proposals
theses proposals | Research area |
---|---|
Tesi di laurea magistrale - Tecniche e problemi aperti nel credit scoring | Statistics - Foundational and philosophical topics |
Il metodo Monte Carlo per la valutazione di opzioni americane | Various topics |