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

A.A. 2024/2025 A.A. 2023/2024 A.A. 2022/2023 A.A. 2021/2022 A.A. 2020/2021 A.A. 2019/2020 A.A. 2018/2019 A.A. 2017/2018 A.A. 2016/2017 A.A. 2015/2016 A.A. 2014/2015 A.A. 2013/2014 A.A. 2012/2013 A.A. 2011/2012 A.A. 2010/2011 A.A. 2009/2010

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 2025/2026

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 enrollment year.

CURRICULUM TIPO:

1° Year 

ModulesCreditsTAFSSD
9
B
IUS/04
9
B
SECS-P/05
9
B
SECS-P/11
9
C
SECS-P/11
9
B
SECS-P/11
6
B
SECS-P/01
9
B
SECS-S/06

2° Year   activated in the A.Y. 2017/2018

ModulesCreditsTAFSSD
6
B
SECS-P/11
6
B
SECS-P/09
9
C
SECS-P/11
9
B
SECS-S/03
6
F
-
15
E
-
activated in the A.Y. 2017/2018
ModulesCreditsTAFSSD
6
B
SECS-P/11
6
B
SECS-P/09
9
C
SECS-P/11
9
B
SECS-S/03
6
F
-
15
E
-
Modules Credits TAF SSD
Between the years: 1°- 2°
9
D
-

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.

A Basic activities
B Characterizing activities
C Related or complementary activities
D Activities to be chosen by the student
E Final examination
F Other training activities
S Placements in companies, public or private institutions and professional associations

Mathematical finance  (2016/2017)

Teaching code

4S001142

Teacher

Coordinator

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.

MoodleMoodle Seminars 0

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.

Reference texts
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.

Students with disabilities or specific learning disorders (SLD), who intend to request the adaptation of the exam, must follow the instructions given HERE