Laboratories

MEF Laboratories
Tecniche attuariali

Language: Italian

Instructors: Prof. Francesco Cuzzucrea, Prof. Angelo Troiani

Academic Year: 2019-2020, 40 hours/6 credits

Period: third term

Calendar (lesson hours from 9:30 to 11:30 am):

April: 6-8-15-20-22-27-29

May: 4-6-11-13-18-20-25-27

June: 3-8-10-15-17

Room: in distance through Microsoft Teams

Registration: no registration needed

Laboratory of Quantitative trading

Language: English

Description: Syllabus is now available

Instructor: Prof. Domenico Dall'Olio (LinkedIn profile)

Academic Year: 2019-2020, 20 hours/3 credits

Period: third term

Tentative calendar:

  • May 14th 11:00-13:00 and 14:00-16:00
  • May 21st 11:00-13:00 and 14:00-16:00
  • May 28th 11:00-13:00 and 14:00-16:00
  • June 4th 11:00-13:00 and 14:00-16:00
  • June 11th 11:00-13:00 and 14:00-16:00

Room: in distance through Microsoft Teams

Registration: deadline April 30th

Please note: in the event that the lab of Prof. Giaccotto is canceled, students enrolled in that lab will take priority for enrollment in this lab.

Syllabus and course structure
Advanced Laboratory in Financial Risk Management 

Language: English

Description: Details regarding the 2019/2020 edition are not available yet. To make an idea, please check the available information on last year edition at this link

Instructor: Prof. Giaccotto (lecturer at University of Connecticut, USA)

Period: III term

Registration: from January 31st to February 28th, 2020

Initially scheduled for April 2020, this lab has been POSTPONED to a later date (TBD) due to the coronavirus emergency

Laboratory of Econometrics for Macroeconomics and Finance

Language: English

Period: II Term  - January 2020

Instructor: Prof. Emanuele Bacchiocchi

Registration: interested students can register by sending an email to the professor (emanuele.bacchiocchi@unimi.it) by January 10th, 2020. Applications received after this deadline, will not be considered.

Once registered, attending all classes of the lab. is mandatory. Non-attending students will not obtain the 3 credits. A maximum of 20 students can be accepted.

Numerical Finance and Option Pricing

Language: English

Academic Year: 2018-2019, II Term – 20 hours – 3 credits

Period: January-March 2019. 

Description: This course aims at giving the basic knowledge of computational finance and numerical option pricing. Material span from basic R programming to financial advanced time series estimation. Basic numerical differentiation and Monte Carlo analysis. Basic stochastic models simulation and numerical option pricing.

Teaching methods: Computer Lab. Script and Slides.

Instructor: Stefano Maria Iacus

Syllabus:

* Basic and advanced R programming
* Introduction to explorative data analysis for financial time series
* Basics of Monte Carlo simulation
* Basics of numerical differentiation
* European option pricing
* American option pricing

Readings: Iacus and Yoshida (2018) Simulation and Inference for Stochastic Processes with YUIMA, Springer NY
Iacus (2011) Option Pricing and Estimation of Financial Models with R, Wiley UK
Iacus (2008) Simulation and Inference for Stochastic Differential Equations, Springer NY

Prerequisites, exam and assessments:Mathematics, Time Series Analysis.
Final report Fail/pass.

Propaedeutical courses: Students have to attend the theoretical classes of Numerical Methods for Finance (MEF).
Students must have attended the courses of Mathematics and Time Series Analysis, MEF 1st year.

Registration: interested students can register by sending an email to the professor (stefano.iacus@unimi.it) by January 7th, 2019.
Applications received after this deadline, will not be considered.

Once registered, attending all classes of the lab. is mandatory. Non-attending students will not obtain the 3 credits.

Advanced Laboratory in Financial Risk Management 

Language: English

Description: Classes will consist primarily of lectures, problem solving sessions, and class discussions. In this course you will learn about options and futures markets and risk management for modern multinational corporations (MNCs).

Instructor: Carmelo Giaccotto

Academic Year: 2018-2019, III Term – 20 hours – 3 credits

Period: May 2019. 

Positions available: a maximum of 30 students is accepted (priority to 1st year MEF students).

Registration: interested students can register by sending an email to mef@unimi.it

Tecniche attuariali (corso opzionale da 6 CFU)

Lingua: Italiano

Descrizione: Obiettivo del corso è introdurre gli studenti alle principali tematiche della Tecnica Attuariale allo scopo di fornire elementi teorici e pratici utili al superamento dell’esame di stato per la professione di Attuario.

Docente: Prof. Francesco Cuzzucrea e PhD. Angelo Troiani 

Anno accademico: 2018-2019, III trimestre – 40 ore (6 crediti)

Periodo: Aprile-Maggio-Giugno 2019. Le lezioni si svolgeranno il giovedì e venerdì, 12:30 – 14:30 in AULA 24, a partire dall’11 aprile

Prerequisiti: Si richiede agli studenti una solida preparazione di Calcolo delle Probabilità e di Statistica acquisita preventivamene negli altri corsi del MEF.

Valutazione finale: Il voto finale sarà in trentesimi, diversamente dal laboratorio da 3 CFU svoltosi negli anni precedenti che prevedeva un semplice giudizio di idoneità finale

Materiale del corso: disponibile su cartella privata Gdrive, richiedere l’accesso inviando una e-mail a mef@unimi.it

Actuarial laboratory – Laboratorio attuariale

Lingua: Italiano

Descrizione: Obiettivo del corso è introdurre gli studenti alle principali tematiche della Tecnica Attuariale allo scopo di fornire elementi teorici e pratici utili al superamento dell’esame di stato per la professione di Attuario.

Docente: Prof. Francesco Cuzzucrea 

Anno accademico: 2017-2018, III trimestre – 20 ore (3 crediti)

Periodo: Aprile-Maggio-Giugno 2018. 

Prerequisiti: Si richiede agli studenti una solida preparazione di Calcolo delle Probabilità e di Statistica acquisita preventivamene negli altri corsi del MEF.

N. max studenti accettati: 45 posti prioritariamente riservati agli studenti MEF. I posti eventualmente non assegnati, verranno messi a disposizione degli studenti del corso EMA- UNIMI.

Modalità d’iscrizione: gli studenti interessati devono inviare richiesta d’iscrizione via email, all’indirizzo mef@unimi.it

Materiale del corso disponibile su Dropbox

Financial Risk Management

Language: English

Description: Classes will consist primarily of lectures, problem solving sessions, and class discussions. In this course you will learn about options and futures markets and risk management for modern multinational corporations (MNCs).

Instructor: Carmelo Giaccotto

Academic Year: 2017-2018, III Term – 20 hours – 3 credits

Period: May 2018. 

Positions available: a maximum of 30 students is accepted (priority to 1styear MEF students).

Registration: interested students can register by sending an email to mef@unimi.it

Introduction to Bayesian Inference

Language: English

Description: The aim of the course is to introduce the Bayesian approach to statistical inference. We will develop the relevant methodology, theory and computational techniques necessary to its implementation. We will discuss single and multi-parameter models as well as the fundamental of Bayesian regression analysis. Key computational techniques and methods will be introduced, alongside the development of basic skills to use OpenBUGS software for Bayesian modelling.

Instructor: Dr. Cristiano Villa 

Academic Year: 2017-2018, III Term, 20 hours – 3 credits

Period: April-May 2018.

Prerequisites: interested students must have already passed the following exams of MEF 1st year:
1. Mathematical Methods for Finance
2. Data Mining and Computational Statistics
3. Time Series Analysis
Furthermore, a basic knowledge of R is required.

Positions available: a maximum of 16 students is accepted (priority to 2nd year MEF students).

Registration: interested students can register by sending an email to mef@unimi.it

Financial Portfolio Management

Description: The course will introduce the student to recent development in Multi-objective stochastic programming for Portfolio selection and Risk Measurements. The students will be faced with recent publication in the field. They will be also invited through workshops and projects to assess, discuss and propose new approaches. Students also will be asked to make short presentations during the class.

Instructor: Fouad Ben Abdelaziz

Academic Year: 2017/2018, 1st Term

Period: October 2017.

Course Material: to be uploaded later (if any)

 

Laboratories from other courses

In addition to laboratories projected for MEF students, MEF students can decide to take also laboratories from other programmes (eg. DSE, MIE, EPS). For more information, please refer to the programme website or contact the secretariat.

If you want to start a laboratory activity of your choice:

  • Before starting:
    request authorization to MEF Academic Tutor (Internship Representative)
Contacts

Internship Representative Prof. Alessandro Barbiero