academic year 2024/25

Academic Coordinator: Antonino Zanette

Period: Second semester

Duration: 14 hours

Program: Algorithms for option pricing in discrete models and continuous models. Monte Carlo Methods for European options. Tree methods for European and American options. Tree methods and Monte Carlo methods for Exotic options (barrier options, asian options, lookback options, ra- inbow options) Finite difference methods for the Black-Scholes PDE equation. Applications of Machine Learning in options pricing.