The course is prepared for students who followed the courses “Stochastic Models for Finance” and “Mathematical Finance”. The Black-Scholes model is considered a prerequisite.
The objective of the course is to describe and analyze the main mathematical models used for the valuation of financial derivatives. The course is divided into four pillars, which correspond to the four main financial markets: interest rate derivatives, credit derivatives, equity derivatives and FX derivatives. The course will also introduce practical tools for the implementation of the mathematical models with standard scientific software, and the calibration of these models to market data.
via Cantarane, 24
VAT number 01541040232
Italian Fiscal Code 93009870234
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