ET38 - COMPUTATIONAL FINANCE

insegnamento

ID:

ET38

Tipo Insegnamento:

Opzionale

Durata (ore):

64

CFU:

SSD:

ECONOMIA DEGLI INTERMEDIARI FINANZIARI

Url:

Dettaglio Insegnamento:

BUSINESS ADMINISTRATION/BASE Anno: 3

Anno:

2024

Periodo di attività

Secondo Semestre (03/02/2025 - 10/05/2025)

Obiettivi Formativi

This class will provide an advanced analysis of computational methods in finance and applications to investment strategies.

Prerequisiti

Basic coding (any language). Basic math, statistics, and probability

Metodi didattici

In class lectures, assignments, in-class tutorials, investment games

Verifica Apprendimento

Problem sets, class discussions, writing a paper, midterm and final exams

Testi

Python for Finance by Yves Hilpisch

and material supplied by the instructor (including, papers, lecture notes and slides).

Contenuti

This class will cover the following topics:

1) Introduction to financial time-series
2) CAPM and Basic portfolio theory and practice
4) Market liquidity and liquidity strategies
5) Investment strategies for equities, bonds and currencies
6) Investing in the cryptocurrency

Risultati di Apprendimento Attesi

Students are expected to learn state-of-the-art asset pricing models and understand the relationship between risk-return. The focus of the class is applied and students will use Matlab/Python for applications.