The scope of this course is to deepen basic conceps of Quantitative Finance (in particular, option pricing), with a focus on computational implementation with Matlab.
Tentative program for Quantitative Finance lab:
1) Binomial model: recall of the theory, Matlab implementation, examples on real data
2) Monte Carlo methods (Central limit theorem, random sampling schemes)
3) Black-Scholes model: pricing formula, greeks and sensitivities, European options’ portfolio management (with Matlab)
4) Black-Scholes model: path dependent options and variance reduction techniques (with Matlab)
5) Simulation of stochastic differential equations (exact sampling and approximate dynamics) (with Matlab)
6) Beyond Black-Scholes: jump diffusion processes and stochastic volatility (Heston model) (with Matlab examples)
- Docente: RICCARDO BRIGNONE