Mathematical Methods for Finance

A.Y. 2020/2021
9
Max ECTS
60
Overall hours
SSD
SECS-S/06
Language
English
Learning objectives
The aim of the course is to teach students the main techniques to approach multivariable optimization problems, both constrained and unconstrained, and to make students able to solve systems of differential equations and optimal control problems. The theoretical part of each module of the course will be enriched by a numerical part, where the goal is to get students acquainted with the main ideas and methodologies of numerical solutions with Matlab and Julia.
Expected learning outcomes
At the end of the course, students will be expected to possess and be able to use the main techniques for solving multivariable optimization problems, both constrained and unconstrained. Moreover, they will have the necessary backgrounds to categorize and, whenever possible, to solve analytically systems of differential equations and optimal control problems. Everywhere the analytical solution is out of reach, students will be equipped with the necessary numerical tools available in Matlab and Julia.
Course syllabus and organization

Single session

Responsible
Lesson period
First trimester
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES - University credits: 9
Lessons: 60 hours
Professor: Saredi Viola Luisa
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Professor(s)