Arbitrage Pricing
Persone
Docente titolare del corso
Assistente
Descrizione
Prerequisites
Statistics, Financial Econometrics
The course is structured along the following topics.
- Brief review of probability
- No-arbitrage in the static, finite-dimensional case
- No-arbitrage in a dynamic (in)finite-dimensional setting
- Brownian motion
- Introduction to the stochastic calculus
- Feynman-Kac theorem
- Black-Scholes model
- (Affine) term structure models
All material will be provided.
Obiettivi
Arbitrage Pricing develops the notion of ‘no-arbitrage’ or ‘no free lunch’ from first principles. After having taken the course, students will be familiar with the general concept of no-arbitrage, and its use in the pricing of uncertain cash flows with common models used in the industry and academia.
Modalità di insegnamento
In presenza
Impostazione pedagogico-didattica
Our classes will simultaneously develop the theory and its applications. Students will be introduced to the must-know models for a career in modeling and pricing.
Compliant with COVID-19 guidelines.
Modalità d’esame
Weekly homeworks will account for 20% of the grade, a final written exam for 80%.
Bibliografia
- Björk, Tomas. Arbitrage theory in continuous time. Fourth edition. Oxford: Oxford University Press, 2020.
- Brigo, Damiano. Interest rate models: theory and practice. 2nd ed.. Berlin etc.]: Springer, 2006.
- Shreve, S.E.. Stochastic Calculus for Finance II: Continuous-Time Models. Berlin: Springer, 2004.
- Øksendahl, B.. Stochastic Differential Equations.. Springer, 2000.
Offerta formativa
- Master of Science in Economics in Finance, Lezione, 1° anno
Prerequisito
- Financial Econometrics, Mancini L., Ye Y., SA 2022-2023
- Statistics, Mira A., Ghilotti L., Peluso S., SA 2021-2022
