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 Mathematics - 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
6
B
MAT/08
6
B
MAT/07
6
B
MAT/03
12
B
MAT/05
6
B
MAT/05
6
C
MAT/06

2° Year   activated in the A.Y. 2016/2017

ModulesCreditsTAFSSD
6
B
MAT/05
32
E
-
activated in the A.Y. 2016/2017
ModulesCreditsTAFSSD
6
B
MAT/05
32
E
-
Modules Credits TAF SSD
Between the years: 1°- 2°
3 course to be chosen among the following
6
C
MAT/03
6
C
MAT/08
6
C
MAT/02
6
C
MAT/02
6
C
MAT/06
6
C
MAT/05
6
C
INF/01
6
C
MAT/09
6
C
MAT/08
6
C
MAT/07
6
C
MAT/08
Between the years: 1°- 2°
One course to be chosen among the following
6
B
MAT/02
6
B
MAT/02
Between the years: 1°- 2°
12
D
-
Between the years: 1°- 2°
Other activitites
4
F
-

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

Numerical methods for mathematical finance (seminar course)  (2015/2016)

Teaching code

4S001114

Teacher

Leonard Peter Bos

Coordinator

Leonard Peter Bos

Credits

6

Language

English en

Scientific Disciplinary Sector (SSD)

MAT/08 - NUMERICAL ANALYSIS

Period

II semestre dal Mar 1, 2016 al Jun 10, 2016.

Seminars 0

Learning outcomes

To study numerical methods for calculating the price of an option.

Program

Programme:

Binary Trees
Continuous time models (Geometric Brownian Motion, Black-Scholes, Feynman-Kac)
Estimating the volatility from historical data
Accelerating the back-folding of a tree
Path Dependent Options
Numerical Methods for Advection-Diffusion equations (Euler, Crank-Nicholson, application to the Black-Scholes PDE)
American and Asian Options
Jump Diffusions and the Merton Model
The Fast Gauss Transform and its application to the pricing of Options
Calibration of a model from historical data
Monte Carlo Methods
Numerical methods for SDE
Applications to Finance in Energy markets

Examination Methods

To pass the exam the student must demonstrate the ability to mathematically model problems in finance and to solve them numerically using the methods discussed during the course. To that end the student will be assigned a project that will involve the implementation and study of some numerical methods for a problem in mathematical finance.

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