MATHEMATICAL METHODS FOR FINANCE
Instructional goals
1) To learn some basic methods in Linear Algebra, Linear and Nonlinear Dynamical Systems, Static Optimization. These are essential tools to understand and develop mathematical models in economics and finance.
2)To be able to understand mathematical models and to develop them in simple cases.
Intended learning outcomes
1) Knowledge and understanding:
The course will offer the basic theoretical tools of Linear Algebra, Dynamical Systems, Optimization. These are key tools to understand and develop mathematical models in economics and finance.
2) Applying knowledge and understanding:
The students will be taught how to use the above basic tools
to develop simple mathematical models of real phenomena such as:
- population/infection dynamics and its impact on the society;
- climate change and its economic/social impact;
- web pages ranking;
- economic/financial activities
3) Making judgements:
We expect students to be able to - understand the main features of basic economic/financial models;
- judge the reliability of information on quantitative modeling that they read in the press;
- build simple mathematical models of real phenomena.
4) Communications Skills:
This course will give the students the possibility to acquire and understand major terms and concepts
in order to communicate their ideas, proposals, analysis and critical reasoning in the field of mathematical modelling in the most effective and appropriate way.
5) Learning skills:
This course will contribute to empower learners giving them the tools to evaluate the statements on quantitative mathematical modelling (that they can read in the press or in specialized journals) in an
independent
way.
Course Contents
- Review of calculus of Several Variables
- Implicit Functions and Comparative Statics
- Unconstrained Optimizazion
- Constrained Optimization
- Eigenvalues and eigenvectors,
- Spectral decomposition
- Linear/Nonlinear Difference/Differential Equations and Systems
- Use of the above techniques to build mathematica models of real phenomena.
Reference Books
1)
MATEMATICS FOR ECONOMISTS
Carl Simon e Lawrence Blume
W.W. NORTON & COMPANY.
2)
Notes given by the teacher.
Teaching Methods
Lessons and Exercises sessions.
Assessment Method
Lessons and Exercises sessions.
Thesis assignment criteria
Interview
Does the syllabus cover sustainability topics?
Yes. In particular the teachers will develop models on climate change and economics
Week 1 Contenuto sessioni on line e on campus
Introduction to the course and to mathematical modelling.
Review of several variables calculus.
Week 2 Contenuto sessioni on line e on campus
Implicit Functions and Comparative Statics.
Basics on Static Optimization.
Week 3 Contenuto sessioni on line e on campus
Linear operators and matrices.
Change of basis.
Complex numbers.
Week 4 Contenuto sessioni on line e on campus
Eigenvalues and eigenvectors. Spectral Decomposition of matrices 1.
Week 5 Contenuto sessioni on line e on campus
Spectral Decomposition of matrices 2.
Introduction to Dynamical Systems.
Week 6 Contenuto sessioni on line e on campus
Linear Dynamical Systems and their use in mathematical modeling.
Week 7 Contenuto sessioni on line e on campus
Examples of Linear Dynamical Systems.
Markov matrices, graphs and applications.
Week 8 Contenuto sessioni on line e on campus
Nonlinear Dynamical Systems and their use in mathematical modeling.
Week 9 Contenuto sessioni on line e on campus
Unconstrained Optimization. First order necessary conditions.
Second order conditions.
Week 10 Contenuto sessioni on line e on campus
Constrained optimization.
First order necessary conditions.
Constraint qualifications.
Week 11 Contenuto sessioni on line e on campus
Concave and quasiconcave functions.
Envelope Theorems.
Application of Constrained Optimization.
Portfolio Selection.
Week 12 Contenuto sessioni on line e on campus
This week does not exist