AAF1946 - Computational tools for finance 2023/2024
Students should join the course using Google Classroom (code: onseatu). Materials and announcements about the course will be posted exclusively on Google Classroom.
Schedule (Orario lezioni)
- Thursday 12-14 (room Laboratorio informatico "Giuseppe Burgio")
Final grade (Modalità di valutazione)
The exam consists in a practical aimed at solving probability problems by means of R.
The calendar of the exam sessions is available on the course webpage from the courses catalogue.
Teaching delivery modality (Modalità di svolgimento)
Classes will be in-person and will take place as scheduled.
Fundamental prerequites: calculus (limits, integrals, derivatives, matrices/vectors) and introductory statistics (mean, variance, chi-squared test, linear correlation, linear regression). This short course will cover topics part of the program developed and discussed in the Probability and Stochastic Processes course. It is strongly recommended to attend both courses.
Introduction to the programming language R: basic commands, vectors, lists, matrices, functions, data frames, import-export and manipulation of data frames, data cleaning, categorical and numerical variables, factors, tables and histograms.
Random sampling from different probability distributions, law of large numbers, central limit theorem, multivariate distributions, Monte-Carlo method, importance sampling, Markov chains, Random walks, Gambler's ruin, Poisson process, Brownian motion, geometric Brownian motion, Metropolis-Hastings algorithm.
Bibliography (Bibliografia di riferimento)
- Course slides and other material
- Crawley MJ. The R book. Wiley
- Venables WN, Smith DM, and the R Core Team. An introduction to R. Available at: https://cran.r-project.org/manuals.html