20550 - PRECORSO DI METODI QUANTITATIVI PER LA FINANZA / QUANTITATIVE METHODS FOR FINANCE - PREPARATORY COURSE
Per la lingua del corso verificare le informazioni sulle classi/
For the instruction language of the course see class group/s below
Classe/i impartita/e in lingua italiana
Lezioni della classe erogate in presenza
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 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. program. 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Lecture notes and class presentations of the material should be taken as a guidance for further study on the textbooks indicated below.
- L. BLUME, C.SIMON, Mathematics for Economists, W.W. Norton & Co, 2010.
- A.C. CHIANG, Fundamental Methods of Mathematical Economics, Mc-GrawHill-Irwin, 1984 (first edition).
- M. GUIDOLIN, M. PEDIO, Essentials of Applied Portfolio Management, EGEA and Bocconi University Press, 2016.
- M. JACKSON, M. STAUNTON, Advanced Modelling in Finance Using Excel and VBA, John Wiley & Sons Inc., 2001.
Class group/s taught in English
Lezioni della classe erogate in presenza