Calculus

Course contents
Vector spaces, norms and induced topology. Differential calculus on R^n: limits, continuity, partial and directional derivatives, Jacobian and Hessian matrix, local extrema, Fermat theorem. Lagrange multipliers. Integral calculus on R^n: Fubini's theorem, decomposition of integrals on R^2. L^p spaces, norms and properties, crucial inequalities. ODE: first order, linear case and separable variables case. Order greater than one, the linear case. PDE: Fourier transform and heat equation

Readings/Bibliography
M. Capinski and E. Kopp: Measure, Integral and Probability. Springer 2004 R.P. Aagarwal, D, O'Reagan: Ordinary and Partial Differential Equation: Springer 2008, lessons 1, 41, 42, 43

Econometrics(A)
Course contents
1. Review of linear regression and ordinary least squares 2. Maximum likelihood theory. 3. Linear time series models: definition, properties, inference, forecast, unit roots. 4. Conditional heteroskedasticity models: definition, properties, inference. 5. Limited dependent variables models. 6. Panel data models.

Readings/Bibliography
M. Verbeek, A guide to modern Econometrics, Wiley 2004.

Econometrics(DD)
Course contents
1. 2. 3. 4. 5. The standard linear regression model Inference and model evaluation An outline of asymptotic properties Specification tests and model selection Sources of data

Readings/Bibliography

Jeff M. Wooldridge: Introductory Econometrics. A Modern Approach, THIRD EDITION Thomson, South-Western, 2006 Chris Baum, An Introduction to Modern Econometrics Using Stata, Stata Press Josh Angrist and Steve Pischke, "Mostly Harmless Econometrics" Princeton University Press 2008

Corporate Finance
Course contents
-Introduction to Financial Analysis (Financial Statement, financial ratios) -Overview of corporate financing -Principles of valuation (Present value, risk and return, discounted cash flow) -Capital budgeting (Criteria for investment decision, cash flow estimation) -Optimal capital structure and the cost of capital (Modigliani-Miller Theorem, trade-off theory, WACC, adjusted net present value)

Readings/Bibliography
Texbook: Brealey R., Myers S. and F. Allen, "Principles of Corporate Finance, 10/e, 2011, McGraw-Hill

Numerical Analysis (I.C.)

Computer Programming
Course contents
Information Systems, Databases, relation data model, relationa algebra and calculus, SQL, database design methology, ER data model and quality verification. Notions about the architecture of a DMBS.

Readings/Bibliography
Abraham Silberschatz, Henry F. Korth, S. Sudarshan, Database System Concepts, 6ed, ISBN: 0073523321, 2010.

Numerical Methods
Course contents
Finite numbers and floating point arithmetic; error analysis. Polynomial functions; polynomial interpolation and quadrature; some results on least squares approximation. Non linear equations; some results on non linear systems. Numerical linear algebra: stationary iterative methods; matrix factorization of Gauss and Householder; some results on matrix eigenvalues. Some results on numerical differential equation solving. The course activities are supported by laboratory facilities, including the availability of the MATHEMATICA scientific system.

Readings/Bibliography
1. M. Overton, Numerical Computing with IEEE Floating Point Arithmetic, SIAM 2001. 2. N. Higham, Accuracy and Stability of Numerical Algorithms, SIAM 2002. 3. 5. D. Kincaid, E. W. Cheney, Numerical analysis: mathematics of scientific computing, 2nd ed. Brooks/Cole, 1996. 4. D. Bau, N. Trefethen, Numerical linear algebra, SIAM 1998. 5. G. W. Stewart, Afternotes on Numerical Analysis, SIAM 1996. 6. H. R. Varian (editor), Computational Economics and Finance: Modeling and Analysis with Mathematica, Springer, 1996

Economics and Regulation (I.C.) Financial Market Regulation

Course contents
The course shall offer a thorough introduction to international and european capital markets regulation, endeavouring to offer a comparative overview of the regulatory framework for equity markets (herein included the regulation of listed companies, takeover bids, prospectuses, insider trading and market manipulation) in the global financial setting. Students shall be confronted with current European regulatory responses to market pressures and will be required to put them in context, assessing the cornerstones of the existing EU regime against the backdrop of

international and US experiences and responses to the recent financial crisis and the academic debate on Law and Finance. Significant emphasis shall be given also to an accurate historical analysis of the foundation of the current legal system and its evolution from the early days of the first continental Exchanges to the current post FSAP.

Readings/Bibliography
M. Lamandini, Handbook Fragmenta novi Towards a new capital market regulation? Cases and material on International and European capital market regulation

Economics of Financial Markets

Course contents
1 Introduction to equilibrium and arbitrage
2 Introduction to valuation

3 Expected utility and risk 4 Optimal portfolio 5 Equilibrium prices and allocations 6 Mean-Variance models 7 APT 8 Multiperiod securities markets

Course prerequisites : Mathematics: Basic linear algebra, Point to set topology in Rn, Calculus of several variables and vector valued maps, Implicit function theorem, Optimization under linear constraints. - Basic probability theory If you are not that confident in your math proficiency, you may find convenient to attend the crash course in math, offered in September. Economics:

Knowledge of microeconomics at the intermediate level (i.e., at the level of, say, H. Varian, Microeconomics, Norton) is taken for granted. Please, take very seriously the prerequisites above. This is an intensive class. You will hardly have the time to make up for your lack of background knowledge once classes start.

Readings/Bibliography
LeRoy, S., and J. Werner, Principles of Financial Economics, Cambridge University Press, 2001 Huang, C.-F., R.H. Litzenberger, Foundations for Financial Economics, North Holland, 1988

Acturial and Financial Mathematics (I.C.)

Probability
Course contents
Probability space. Discrete and continuous random variables. Bivariate random variables. Univariate and multivariate Gaussian models. Discrete stochastic processes. Markov chains. Continuous stochastic processes.

- Actuarial and Financial Mathematics

Course contents
Elements of probability: random variables, conditional expectation, stochastic processes in discrete time. Parabolic partial differential equations and Fourier transform. Continuous-time stochastic processes. Brownian integration and Ito calculus. Stochastic differential equations. Numerical methods: Euler schemes and Monte Carlo methods. Introduction to Levy processes. See also http://docs.google.com/View?id=dcf394s9_47htxqbrhd

Readings/Bibliography
A. Pascucci, PDE and Martingale methods in option pricing, Bocconi & Springer Series, 2010

Financial Products and Markets

Course contents
Single-index models Market-model and the Capital Asset Pricing Model Multi-index Models: Arbitrage pricing theory The Fama and Franch three-factor model Carhart FF model

with momentum factor Market efficiency: Empirical tests of market efficiency Event-studies Empirical evidence on security returns

Readings/Bibliography
Bodie, Kane and Marcus, Investments, 8th Edition, 2010,