Info
Logo Bocconi

Course 2019-2020 a.y.

20550 - PRECORSO DI METODI QUANTITATIVI PER LA FINANZA / QUANTITATIVE METHODS FOR FINANCE - PREPARATORY COURSE

FIN
Department of Finance

For the instruction language of the course see class group/s below

Go to class group/s: 1 - 2

FIN (I sem. - P)
Course Director:
MASSIMO GUIDOLIN

Classi: 1 (I sem.)
Docenti responsabili delle classi:
Classe 1: MASSIMO GUIDOLIN

Classe/i impartita/e in lingua italiana

Mission e Programma sintetico
MISSION

The course introduces basic concepts from real analysis, calculus, applied optimization, and key ideas on the structure and functioning of financial markets. A portion of the classes take place in the lab also to prepare students to the type of applied and problem solving approach of a few compulsory courses of the MSc. program. The course has two types of audiences: 1. Students who want to review concepts already encountered before but who value having them refreshed and ready more than the time required to attend the prep-course in August. 2. Students who self-assess that they may presenting from “holes” in their background with reference to one or more of the topics/lectures listed below.

PROGRAMMA SINTETICO
  1. Functions on R, limits, derivatives and differentials, integration:
    • Dates IT: TBA.
    • Dates ENG: TBA.
    • Useful for: 20188 and 20189, 20135, 20191.
    • Readings: Simon-Blume, chapters 2-4 and 12; Chiang,  chapters 2, 6, 7, 8 + slide set 1.
  2. Vectors and Matrices with applications in Excel.
    • Dates IT: TBA.
    • Dates ENG: TBA. 
    • Useful for: 20135, 20191 and 20192. 
    • Readings: Simon-Blume, chapters 8, 9 and 10; Jackson and Staunton, chapters 1- 2 + slide set 2. 
  3. Brief review of optimization methods with applications in Excel.
    • Dates IT: TBA.
    • Dates ENG: TBA; Useful for: 20135, 20191, 20192.
    • Readings: Chiang, chapters 9, 11 and 12;  Jackson and Staunton, chapter 6 + slide set 3.
  4. Brief introduction to utility theory under certainty and uncertainty: axioms of choice under certainty, preference representation theorem and its meaning, expected utility theorem, uniqueness of EU, preferences up to monotone increasing linear transforms.
    • Dates IT: TBA.
    • Dates ENG: TBA.
    • Useful for: 20188 and 20135.
    • Readings: Guidolin and Pedio, chapter 2 + slide set 4.
  5. Basic Mean‐Variance Analysis.
    • Dates IT: TBA.
    • Dates ENG: TBA; Useful for: 20135.
    • Readings: Guidolin and Pedio, chapters 3 and 4.     

Legend:

  • 20135: Theory of Finance.
  • 20188: Quantitative Finance and Derivatives – Module 1.
  • 20189: Quantitative Finance and Derivatives – Module 2.
  • 20191: Financial Econometrics and Empirical Finance – Module 1.
  • 20192: Financial Econometrics and Empirical Finance – Module 2.                                                   

Materiali didattici
STUDENTI FREQUENTANTI E NON FREQUENTANTI
  • The slides covered in the course is outlined in the lecture slides and notes made available via the class website, at: http://didattica.unibocconi.eu/mypage/map.php IdUte=135242&idr=14063&lingua=eng. 
  • Lecture notes and class presentations of the material should be taken as a guidance for further study on the textbooks indicated below.
  • L. BLUME, C.SIMON, Mathematics for Economists, W.W. Norton & Co, 2010.
  • A.C. CHIANG, Fundamental Methods of Mathematical Economics, Mc-GrawHill-Irwin, 1984 (first edition).
  • M. GUIDOLIN, M. PEDIO, Essentials of Applied Portfolio Management, EGEA and Bocconi University Press, 2016.
  • M. JACKSON, M. STAUNTON, Advanced Modelling in Finance Using Excel and VBA, John Wiley & Sons Inc., 2001.
Modificato il 24/06/2019 17:59

Classes: 2 (I sem.)
Instructors:
Class 2: MASSIMO GUIDOLIN

Class group/s taught in English
Last change 24/06/2019 18:00