Prof. Daniele Marazzina

Argomenti del programma: Fondamenti di Matematica Funzioni reali di una variabile reale. Dominio, codominio; funzioni inverse. Grafici delle funzioni elementari. Definizione di limite, alcuni limiti notevoli e applicazioni. Funzioni continue e loro proprietà. Definizione di derivata, significato geometrico di derivata, retta tangente. Calcolo differenziale. Studio di semplici linee piane.

Argomenti del programma: Machine Learning for Finance and Business (50%) Core concepts and methods: supervised and unsupervised learning; clustering, classification, and regression; decision trees, random forests, and neural networks; model evaluation and interpretability; introduction to reinforcement learning and its financial applications.

Argomenti del programma: Advanced Models for Financial Markets and Asset Allocation Lévy processes : stochastic calculus for jump processes; fundamental properties of Lévy processes and reason why they overcome the Black&Scholes limits; Lévy-Kintchine formula; simulating Lévy processes; approximate small jumps with a Wiener process; construction of Lévy processes by subordination; Lévy-Ito formula; Extension to additive processes; example…

Argomenti del programma: Machine Learning for Finance and Business (50%) Core concepts and methods: supervised and unsupervised learning; clustering, classification, and regression; decision trees, random forests, and neural networks; model evaluation and interpretability; introduction to reinforcement learning and its financial applications.