Computational Finance and its implementation in Python applications to option pricing, Green finance and Climate risk
Dr. Andrea Mazzon
Dr. Andrea Mazzon
Please register for the lecture via mail to firstname.lastname@example.org until the 10th of February 2023 if you want to take part to the poll deciding the dates. Your email must include name and student id (Matrikelnummer) and have subject "Registration Computational Finance and its implementation in Python". Please note that registration is mandatory.
The course will be given in hybrid mode: both in presence (in the Quantlab) and from remote (in Zoom). Further information will be provided per e-mail.
The aim of the lecture is to connect theory and practice in Mathematical Finance, with applications to option prices, Green finance and Climate risk by coding in Python. We will look at several examples/models and produce some code for each topic, implementing standard and more advanced financial models and the associated numerical procedures.
In particular, here is a tentative schedule.
Target Participants: Students of the Master in Mathematics or in Financial and Insurance Mathematics.
Pre-requisites: Students are supposed to be familiar with stochastic calculus and pricing theory. Good programming skills and a fair knowledge of Python are also required.
Applicable credits: 3 ECTS. Students may apply the credits from this course to:
There will be some theoretical as well as some programming exercises, to be solved and run in Python.
In order to succesfully pass the exam, students are required to present and discuss the solution of at least two of the three problems that will be given. During the presentation, some related questions touching the program of the course may be asked.