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

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
12
B
MAT/05
6
B
MAT/07
6
B
MAT/03
6
B
MAT/05
6
B
MAT/06

2° Year   activated in the A.Y. 2022/2023

ModulesCreditsTAFSSD
6
B
MAT/05
Final exam
32
E
-
activated in the A.Y. 2022/2023
ModulesCreditsTAFSSD
6
B
MAT/05
Final exam
32
E
-
Modules Credits TAF SSD
Between the years: 1°- 2°
1 module between the following
6
B
MAT/02
6
B
MAT/02
Between the years: 1°- 2°
1 module between the following
6
B
MAT/08
6
B
MAT/08
Between the years: 1°- 2°
3 modules among the following
6
C
MAT/03
6
C
MAT/02 ,MAT/03
6
C
MAT/08
6
C
MAT/08
6
C
MAT/02
6
C
MAT/06
6
C
INF/01
6
C
MAT/05
6
C
MAT/09
6
C
MAT/08
6
C
MAT/08
6
C
MAT/07
6
C
INF/01 ,MAT/06
Between the years: 1°- 2°
12
D
-
Between the years: 1°- 2°
Further activities
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)  (2021/2022)

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

Secondo semestre dal Mar 7, 2022 al Jun 10, 2022.

Lessons timetable MoodleMoodle Seminars 0

Learning outcomes

The course will discuss various numerical methods for the pricing of the main financial instruments. An emphasis will be made on finance in the Energy industry. At the end of the course the student is expected to have the ability to construct and develop mathematical models for the stochastic processes of finance, to be able to analyze their limits and applicability and to solve them numerically.

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

Bibliography

Vai alla bibliografia
Visualizza la bibliografia con Leganto, strumento che il Sistema Bibliotecario mette a disposizione per recuperare i testi in programma d'esame in modo semplice e innovativo.

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