Università Roma Tre

EVALUATION OF CONTINGENT CLAIMS IN THE CONTINUOUS TIME. ELEMENTS OF PROBABILITY THEORY. RANDOM VARIABLES. PROBABILITY DISTRIBUTIONS. STOCHASTIC PROCESSES. WIENER PROCESS. BROWNIAN MOTION. ITO PROCESS. ITO'S LEMMA. STOCHASTIC MODELS IN CONTINUOUS TIME. BLACK AND SCHOLES MODEL. BLACK AND SCHOLES EQUATION. FEYNMANN-KAC REPRESENTATION. RISK-NEUTRAL MEASURE. THE APPLICATION OF FINANCIAL EVALUATION MODELS. THE CAPM MODEL AS A FACTORIAL MARKET MODEL. THE ESTIMATE OF BETA. EMPIRICAL CHECK OF CAPM. THE ALFA OF JENSEN. THE MARKET EMPIRICAL LINE. ARMA MODEL FOR THE ANALYSIS OF FINANCIAL DATA. MODELS FOR VOLATILITY: ARCH AND GARCH MODELS. STOCHASTIC MODELS FOR VOLATILITY. MONTECARLO SIMULATION.

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