Mathematical finance

Contents:

  • fixed income: yields, term structure and interest rate derivatives.
  • stock markets and asset pricing.

Collaborators: dr Valeria Bignozzi (nome.cognome@uniroma1.it),  dr Elena Bandini

Assessment:  written exam.  Either: midterm (November 4, 2016 during our tutorial slot) + final exam on Dec 13, 2016   or global exam (either Dec 13 or Jan 12).

Registration for the midterm: go to http://doodle.com/poll/yhm7hxq2s534a5ew  and fill in the blank space with Surname Name Student ID number  — in this precise order. Registration will be open till Oct 26. 

Textbooks. Recommended:

  • David Lovelock Marilou Mendel A. Larry Wright : An Introduction to the Mathematics of Money, Saving and Investing, Springer 2006;
  • David Luenberger, Investment Science, Oxford Uni Press 2013.
  • John Hull, Options Futures and other Derivatives. Prentice Hall, 2008.