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last update: 27/05/2025.
Notice
27/05/2025: The class of Wednesday 23/04/2025 is rescheduled on Thursday 29/05/2025, 10:00-12:00, aula XIII, CU007 - Edificio Tumminelli, ground floor.
18/04/2025: The class of Wednesday 23/04/2025 is canceled and will be rescheduled (date to be announced).
07/04/2025: Today lessons in Sapienza are suppressed from 11 a.m. and throughout the day, The suspension of classes is intended to give our community a moment to reflect on the issue of violence against women and to take part in Ilaria Sula's final farewell.
25/02/2025: Students are kindly invited to provide their "Sapienza" (@uniroma1.it) email address in order to access the Google Classroom page.
Timetable :
In the academic year 2024-25, lessons of "Monte Carlo methods in finance and insurance" will take place in the second semester, according to the following timetable:
Monday 16:00 -18.00, aula XIV, CU007 - Edificio Tumminelli, ground floor.
Wednesday 08:00 -10:00, aula XIV, CU007 - Edificio Tumminelli, ground floor.
Lessons will start on February 26, 2025.
In the academic year 2023-24, lessons of "Monte Carlo methods in finance and insurance" will take place in the second semester, according to the following timetable:
Monday 16:00 -18.00, aula XIV, CU007 - Edificio Tumminelli, ground floor.
Wednesday 10:00 -12:00, aula V, CU002 - Facoltà I3S, fourth floor.
Lessons will start on February 26, 2024.
In the academic year 2022-23, lessons of "Monte Carlo methods in finance and insurance" will take place in the second semester, according to the following timetable:
Wednesday 14:00 -16.00, aula XIII, CU007 - Edificio Tumminelli, ground floor.
Friday 08:00 -10:00, aula XIII, CU007 - Edificio Tumminelli, ground floor.
Lessons will start on February 22, 2023.
Exams:
The exam consists of a practical test to be carried out in the computing laboratory, using the R programming language. The test will last three hours.
During the test, it is permitted to consult books, notes, handouts, etc., in printed form.
The exam calendar is available on Infostud.
Student reception:
Student reception is provided upon request, either online or in my Sapienza office, located in Viale Regina Elena, 295.
Slides:
Available on Google Classroom for registered users using a @uniroma1.it mail account.
Reference textbooks:
R.Korn, E. Korn, G. Kroisandt
Monte Carlo Methods and Models in Finance and Insurance .
Chapman and Hall/CRC Press, 2010.
Reference papers:
M. Broadie, O. Kaya, "Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes", Operations Research, 54 (2) (2006), 217-23
S. Kou, "A Jump-Diffusion Model for Option Pricing" , Management Science 48 (8) (August 2002) 1086-1101.
R. Cont, P. Tankov, "Constant proportion portfolio insurance in the presence of jumps in asset prices", Mathematical Finance 19, 3 (2009), 379-401.
M. Broadie, P. Glasserman, S. Kou, "A Continuity Correction for Discrete Barrier Options", Mathematical Finance 7, no. 4 (1997), 325-49
F. A. Longstaff, E. Schwartz, "Valuing American Options by Simulation: A Simple Least-Squares Approach", The Review of Financial Studies, 14, 1 (2001), 113-147.
Credit Risk First Boston, "CrediRisk+, A Credit Risk Management Framework" (compressed file).
P. Glasserman, J. Li, (2005) "Importance Sampling for Portfolio Credit Risk", Risk. Management Science 51(11): 1643-1656.
Access to the electronic resources of the Sapienza Digital Library is restricted to users connected from the Sapienza network, i.e. from a computer with I.P. 151.100.*.*. Access using a VPN is also allowed.
Other textbooks:
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