SECOND TERM

Computational Methods and Machine Learning - Instructors: Francesco Rotondi

The course introduces the students to numerical methods and machine learning ones. In the first part of the course, the most important numerical techniques in quantitative finance and risk management, such as Monte Carlo simulations, lattice techniques and numerical and numerical solutions to partial  differential equations, are presented in theory and then implemented. The second part of the course deals with the "machine learning" paradigm: principles, unstructured data, theory and comparisons with traditional statistician techniques, transfer learning. Basic neural network structures are introduced and implemented.   

Credit Risk: Management and Measurement - Instructors: Giacomo De Laurentis, Andrea Resti

The course is focused on credit risk measurement techniques and management. Internal and external ratings systems, simplified credit risk models and full portfolio credit risk models are, in fact, analyzed from a technical point of view, a regulatory perspective and the management opportunities and competitive issues they open.

Econometrics 2 - Instructors: Massimo Guidolin, Manuela Pedio

The course introduces a student to modern techniques in the area of financial econometrics; in particular, the interaction between theory and empirical analysis is emphasized.  

Market Risks: Management and Measurement  - Instructor: Aldo Nassigh

This course is aimed at providing participants with the necessary instruments to measure and understand the market risks associated to investments and trading positions typically held by major financial institutions. The subjects covered in the course include asset liability management techniques focused on interest rate risk management, value at risk models for market risks and their applications for risk measurement and control.

Theory of Valuation - Instructors: Anna Battauz, Alessandro Sbuelz

The course is an advanced class on mathematical finance. The intention is to provide students with the fundamental tools for the analysis of financial markets. The mathematical foundations of the celebrated Black and Scholes model will be reviewed. The valuation of relevant vanilla and non-vanilla derivatives (American claims included) will be examined in detail. The foundations of modern term structure modelling will be provided, with application to pricing and calibration for interest rate derivatives.