The main objective of this course is to present selected topics on quantitative approaches to Economics, Finance and Business.
Quantitative background. Calculus and Optimisation, Linear Algebra: a selected review.
Expected utility and the simple inter-temporal consumption problem.
Asset pricing: Arbitrage, state prices and risk-neutral probabilities.
Asset pricing models: a selected review.
Risk management: Different types of risk, risk measures and hedging. Credit risk and default probabilities.
Numerical methods for optimisation, asset allocation and evaluation. Introduction to Matlab and Scilab languages and programming.
Asset allocation in practice: At the end of the course, students will have the opportunity to discuss application of theoretical models in practice. Pierpaolo Uberti, fund manager at Bluecapital SA, will join the class for seminars.