000100R - PROBABILISTIC METHODS FOR FINANCIAL DERIVATIVE VALUATION

The course aims to introduce the fundamental mathematical and probabilistic tools needed for the valuation of financial derivatives. Probability theory will be gradually developed and employed to illustrate simple financial models and to provide the basis for addressing related problems, with particular emphasis on applications relevant to risk management.
EXPECTED LEARNING OUTCOMESStudents are expected to:


gradually assimilate the fundamental concepts of Probability Theory, with particular attention to applications in finance;

use these concepts to analyze random phenomena and translate them into simple market models;

formalize and solve problems (problem solving) related to the valuation of basic financial derivatives;

understand some theoretical aspects and be able to present them clearly;

carry out selected mathematical proofs relevant to Probability Theory.

KNOWLEDGE AND UNDERSTANDING
By the end of the course, students will have acquired the fundamental concepts of Probability Theory and understood how they can be employed in the construction of simple financial models and in solving related problems.
MAKING JUDGEMENTS
By the end of the course, students will have developed the ability to formalize concrete financial problems and to use the main probabilistic tools to address them and propose suitable solutions.
COMMUNICATION SKILLS
By the end of the course, students will be able to summarize and present the theoretical concepts and results learned, and to clearly and rigorously explain the reasoning underlying the solutions to problems and the financial applications addressed.