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CODE 106837
ACADEMIC YEAR 2021/2022
CREDITS
SCIENTIFIC DISCIPLINARY SECTOR SECS-S/06
LANGUAGE English
TEACHING LOCATION
  • GENOVA
SEMESTER 2° Semester
MODULES Questo insegnamento è un modulo di:
TEACHING MATERIALS AULAWEB

OVERVIEW

The aim of the course is to provide the student with the knowledge of advanced mathematical methods to successfully deal with economic models from a quantitative viewpoint.

AIMS AND CONTENT

LEARNING OUTCOMES

The course will provide the mathematical tools for the definition and the solution of dynamic optimization problems with particular emphasis to economic/financial models. Moreover, it will provide topics of probability theory in view of applications to choices in a risky framework.

AIMS AND LEARNING OUTCOMES

At the end of the course, the student will be able to deal, autonomously and properly, with the learned mathematical topics and apply them to economic problems with the needed methodological rigor.

 

PREREQUISITES

The contents of the course of Mathematics for Economics and Data Sciences I.

TEACHING METHODS

The course will be taught by frontal lectures. During the a.y. 2021/22 the lectures might be in blended mode.

SYLLABUS/CONTENT

  • Probability theory in discrete sample spaces: probability spaces; random variables; distribution and joint distribution of random variables; conditional probability and conditional distribution; expected value and conditional expected value; introduction to the theory of stochastic processes and martingales; application: overview on arbitrage theory in discrete time.

 

  • Dynamic optimization: formulation of optimal control problems; dynamic programming principle, HJB equations and verification theorem; application to economic models.  

 

 

 

RECOMMENDED READING/BIBLIOGRAPHY

Notes of the teacher. Further bibliographic material will be provided at the beginning of the course

TEACHERS AND EXAM BOARD

Exam Board

SALVATORE FEDERICO (President)

ANTONIO LUCIANO MARTIRE

MARIA LAURA TORRENTE (President Substitute)

LESSONS

LESSONS START

February 2022

Class schedule

The timetable for this course is available here: Portale EasyAcademy

EXAMS

EXAM DESCRIPTION

The exam will be written and will contain questions on the the theoretical and modeling features treated in the course as well as exercises.

 

ASSESSMENT METHODS

The exam will be in written test composed by theoretical questions and exercises. It will evaluate the understanding of the contents of the course with the goal of assessing the reached skill of applying the tools and the methods learned in an economic perspective and the specialistic language.

At the end of the course the teacher will privide some sample tests and will illustrate the evaluation procedure

 

 

 

 

 

Exam schedule

Data Ora Luogo Degree type Note
07/06/2022 14:00 GENOVA Scritto
21/06/2022 14:00 GENOVA Scritto
19/07/2022 14:00 GENOVA Scritto
08/09/2022 16:00 GENOVA Scritto

FURTHER INFORMATION

Other information will be provided during the course. For non-attending students the same rules apply.