Quantitative Methods in Finance: a critical Introduction

The course is structured as follows:

• Portfolio selection: statement of the problem
• Models
• Portfolio selection: Markowitz’ solution
• Option pricing following Black and Scholes
• The contribution of financial models

In order that students acquire the necessary set of competencies to proficiently manage the information needed to foster sound investment decisions, it is important that they are comfortable with a number of notions used in the financial sector, which make heavy use of quantitative methods. We present a few of such notions, which the practitioner in financial communication most surely will have to deal with. 

We shall thus start with portfolio theory and develop the notions necessary to have an understanding of it. Then we will look into the Black-Scholes approach to option pricing. 

We will not insist on mathematical formulations, but rather focus on the advantages these have and which limitations they might entail. In particular, we emphasise how quantitative models and methods may be used in making decisions.

The course should lead students to sharpen their critical thinking about the use of models in financial markets. 

In presence

Lectures; in class discussion of topics and problem-solving activities; reading, summarising and presenting relevant scientific literature.

Group activity in class (preparation 10%; presentation 10%). Final oral exam 80%.