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Insegnamento a.a. 2018-2019

20550 - PRECORSO DI METODI QUANTITATIVI PER LA FINANZA / QUANTITATIVE METHODS FOR FINANCE - PREPARATORY COURSE

FIN
Dipartimento di Finanza / Department of Finance


Per la lingua del corso verificare le informazioni sulle classi/
For the instruction language of the course see class group/s below

Vai alle classi / Go to class group/s: 1 - 2

FIN (I sem. - P)
Docente responsabile dell'insegnamento / Course Director:
MASSIMO GUIDOLIN

Classi: 1 (I sem.)
Docenti responsabili delle classi:
Classe 1: MASSIMO GUIDOLIN

Classe/i impartita/e in lingua italiana

Mission e Programma sintetico
MISSION

The course introduces basic concepts from real analysis, calculus, applied optimization, and key ideas on the structure and functioning of financial markets. A portion of the classes will take place in the lab also to prepare students to the type of applied and problem solving approach of a few compulsory courses of the MSc. programme. The course has two types of audiences: 1. Students who want to review concepts already encountered before but who value having them refreshed and ready more than the time required to attend the prep-course in August. 2. Students who self-assess that they may presenting from “holes” in their background with reference to one or more of the topics/lectures listed below.

PROGRAMMA SINTETICO

1. Topic: Functions on R, limits, derivatives and differentials, integration; Dates IT: TBA; Dates ENG: TBA; Useful for: 20188 and 20189, 20135, 20191; Readings: Simon-Blume, chapters 2-4 and 12; Chiang,  chapters 2, 6, 7, 8 + slide set 1.
                                                                                                                                                                                                                                                                                                                                                                      
2. Topic: Vectors and Matrices with applications in Excel; Dates IT: TBA; Dates ENG: TBA; Useful for: 20135, 20191 and 20192; Readings: Simon-Blume, chapters 8, 9 and 10; Jackson and Staunton, chapters 1- 2 + slide set 2.                                                                                                                                                                                                                                                                                                                     
3.  Topic: Brief review of optimization methods with applications in Excel; Dates IT: TBA; Dates ENG: TBA; Useful for: 20135, 20191, 20192; Readings: Chiang, chapters 9, 11 and 12;  Jackson and Staunton, chapter 6 + slide set 3.
                                                                                                                                                                                             
4. Topic: Brief introduction to utility theory under certainty and uncertainty: axioms of choice under certainty, preference representation theorem and its meaning, expected utility theorem, uniqueness of EU, preferences up to monotone increasing linear transforms; Dates IT: TBA; Dates ENG: TBA ; Useful for: 20188 and 20135; Readings: Guidolin and Pedio, chapter 2 + slide set 4.

5. Topic: Basic Mean‐Variance Analysis; Dates IT: TBA; Dates ENG: TBA; Useful for: 20135; Readings: Guidolin and Pedio, chapters 3 and 4.     

Legend:
20135: Theory of Finance.
20188: Quantitative Finance and Derivatives – Module 1.
20189: Quantitative Finance and Derivatives – Module 2.
20191: Financial Econometrics and Empirical Finance – Module 1.
20192: Financial Econometrics and Empirical Finance – Module 2.                                                                                                                                                                             


Materiali didattici
STUDENTI FREQUENTANTI E NON FREQUENTANTI

The slides covered in the course is outlined in the lecture slides and notes made available via the class website, at:
http://didattica.unibocconi.eu/mypage/map.php?IdUte=135242&idr=14063&lingua=eng
(yes, please scroll to the middle). Lecture notes and class presentations of the material should be taken as a guidance for further study on the textbooks indicated below.

Blume, L., and C., Simon, 2010, Mathematics for Economists, W.W. Norton & Co.

Chiang, A. C, Fundamental Methods of Mathematical Economics. Mc-GrawHill-Irwin, 1984 (first edition).

Guidolin, M., and M., Pedio, 2016, Essentials of Applied Portfolio Management, EGEA and Bocconi University Press.

Jackson, M., and M., Staunton, 2001, Advanced Modelling in Finance Using Excel and VBA, John Wiley & Sons Inc.

Modificato il 04/07/2018 14:10

Classes: 2 (I sem.)
Instructors:
Class 2: MASSIMO GUIDOLIN

Class group/s taught in English