Provide key notions and quantitative tools for the understanding of modern Mathematical Finance. Both descriptive/analytic and predictive viewpoints will be addressed.

The course is ideal for those who wish to pursue further/advanced studies on the subject. Mathematical Finance offers a very good know-how, directly applicable in many professional fields. In fact, contents range from a basic level to more advanced topics in fixed income and key pricing/hedging problems in stock markets. Knowledge and understanding: The student - by participating in the lectures and practical activities of the course - will be able to tackle a vast number of situations that require the usage of mathematical finance tools. Applying knowledge and understanding: The student - acquiring notions and methods - will be able to interpret and apply the appropriate reference models. Making judgements: The successful student will acquire analytical skills and the ability to select the information necessary for problem-solving. Specifically, critical thinking, problem-solving and self-management will be adequately developed. Communication skills: At the end of the course the student will be able to understand and use the language of Mathematical Finance at all levels. Through the various activities that will take place during the course – lessons with discussion and workshops and meetings with practitioners– the student will be able to put these communication skills into practice in various contexts, by adapting the concepts used to the interlocutor in the specific case. Learning skills: The mathematical-financial knowledge acquired during the course will allow the student to autonomously adapt the various valuation/hedging issues to the specific reference context. The student will develop a solid knowledge of the fundamental aspects of the subject that will allow her to continue the studies or to undertake the various graduate professional training courses.

Fundamental concepts and techniques: time value of money, loans and amortization. Bond markets. Term structure, spot and forward, analytic description of relevant interest rate derivatives. Pricing issues and bootstrapping. Immunization. Stock markets: option pricing, hedging and risk minimization in tree evolution models.

The course program includes some key topics which are rarely included in BA courses. Therefore, the main references are slides, complements, and links provided on Learn. We sometimes use the book, which is a good reference for those who intend to get a CFA certificate: S.J. Garrett An introduction to the Mathematics of Finance: a deterministic approach. Second Edition, 2013. BH Elsevier publisher

Lectures, recitations, tutorials. Meetings with practitioners, which lead to stage possibilities.

The student will be evaluated based on the individual scores achieved on: Midterm exam (individual) 1/3 and final written exam 2/3 contribution to the grade. The minimum pass grade is 18/30 on average in the written exams.

Conversations with the professor.