IMMACOLATA OLIVA

On this page, you can find notices, information, course materials, and exam results related to the following courses:

• Methods and Models for Finance - 9 Credits (Master's Degree in Finance and Insurance)
• Financial Mathematics, Channel M-Z (Bachelor's Degree in Economics and Finance)
• Methods and Models for Finance - 6 Credits (Master's Degree in Finance and Insurance, a.y. 2019/2020)
• Quantitative Finance (Master's Degree in Finance and Insurance) -- up to a.y. 2024/2025

Breaking News:

• Methods and Models for Finance (Finance and Insurance, LM-16): Students are informed that the lessons for the Methods and Models for Finance course (Master's Degree Fnass, 2nd year - 1st semester) for the a.y. 2025/2026 will start on September 22, 2025, according to the following schedule:
  • Monday 10:00-12:00, Room 6C (Faculty of Economics, ground floor)
  • Tuesday 14:00-16:00, Room 6C (Faculty of Economics, ground floor)
  • Friday 10:00-12:00, Room 6C (Faculty of Economics, ground floor)

    Lessons will be held strictly in-person. All course details will be available as soon as possible in the dedicated syllabus (Dedicated Classroom available here).

    The course syllabus is available here.

    Past exams are available here. 

• Financial Mathematics (Economics and Finance - Channel M-Z, L-33): Students are informed that the lessons for the Financial Mathematics course (Channel M-Z, Bachelor's Degree in Economics and Finance, 3rd year - 1st semester) for the a.y. 2025/2026 will start on September 22, 2025, according to the following schedule:
  • Monday 12:00-14:00, Room 8B (Faculty of Economics, floor -1)
  • Tuesday 16:00-18:00, Room 9A (Faculty of Economics, floor -1)
  • Thursday 14:00-16:00, Labinfo (Faculty of Economics, ground floor)

    Lessons will be held strictly in-person. All course information (program, textbooks and recommended reading, learning objectives, prerequisites, final exam and grading policy, preliminary weekly course schedule, office hours, repository for additional teaching materials) is available to students in the dedicated Classroom (available here).  

    The course syllabus is available here.

    Past exams are available here.

STUDENT OFFICE HOURS - GENERAL NOTICE
Student Office Hours are scheduled on Mondays from 3:30 PM to 5:00 PM. Office hours continue to be held in-person. In special, previously agreed-upon cases, office hours can also be held remotely at the following link:
https://meet.google.com/zeo-toah-hpy

Online office hours must be arranged via email at least 48 hours in advance.

The Student Office Hours schedule on this page is valid from the beginning of the teaching period until the end of the first exam session. Outside this timeframe, Student Office Hours must be arranged exclusively via email with the professor.

THESIS AND GRADUATING STUDENTS - GENERAL NOTICE:

Please carefully read the information available in the Handbook. Office hours for thesis students must be arranged exclusively via email. For online office hours, the Meet link to use is this one.

Quantitative Finance -- up to a.y. 2024/2025:

05.02.2025 -- IMPORTANT NOTICE: Dear students, I am pleased to inform you that on February 11th and 12th, a Matlab Masterclass will be held, during which two Sapienza Student Ambassadors will introduce the Matlab softwareand illustrate some useful applications for studying quantitative subjects. The mini-course, which is not mandatory but highly recommended, is dedicated to first-year Finass students who will be taking the Quantitative Finance course in the upcoming semester. The course will be particularly useful in providing you all with some basic preliminary notions, making it easier to follow the main course. All information, including the Masterclass program and registration details, is available on the Finass page, under the news section. The course will be held strictly in-person at the Didalab Laboratory (first floor, Faculty of Economics). For any further information, you can contact me via email. Starting this year, the Masterclass grants 1 Credit (falling under further educational activities) to students who pass the final test.

Sincerely,

Imma Oliva

COURSE START NOTICE: 
Quantitative Finance lessons (a.y. 2024/2025) will be held in the second semester, according to the following schedule:

• Monday 10:00-12:00, Labinfo (Faculty of Economics, ground floor)
• Wednesday 10:00-12:00, Labinfo (Faculty of Economics, ground floor)
• Thursday 10:00-12:00, Labinfo (Faculty of Economics, ground floor)

All course information (program, textbooks and recommended reading, learning objectives, prerequisites, final exam and grading policy, preliminary weekly course schedule, office hours, repository for additional teaching materials) is available to students in the dedicated Classroom (available here).

Past exams are available here. 

Methods and Models for Finance a.y. 2019/2020 - 6 Credits:
The Methods and Models for Finance course aims to provide the mathematical tools to describe and analyze some of the most important continuous-time mathematical models in quantitative finance, used for the valuation of derivative securities in major financial markets.
PROGRAM
PART ONE:

• Stochastic calculus tools [2]
• Continuous-time martingales [2]
• Girsanov's theorem [2]

PART TWO:

• Investment strategies and self-financing portfolios [1]
• Fundamental theorems of finance and no-arbitrage principle [1]
• The Black-Scholes-Merton model [2,4]
• Overview of American options [2,3]

PART THREE:

• Term structure of interest rates and interest rate derivatives [1]
• Heath-Jarrow-Morton theorem [1]
• Stochastic volatility models [5]
• Affine exponential models [1,4]

RECOMMENDED TEXTBOOKS:

• M. Avellaneda and P. Laurence (2000) Quantitative modeling of derivative securities, Chapman&Hall/CRC.
• A. Pascucci (2011) PDE and martingale methods in option pricing, Springer.
• J. Hull (2000) Options, Futures, and Other Derivatives, Pearson Ed.
• S. J. Shreeve (2000) Stochastic calculus for finance II -- continuous-time models, Springer.
• F.D. Rouah (2013) The Heston model and its extensions in Matlab and C#, Wiley.

CV in formato pdf disponibile al seguente link:

https://drive.google.com/drive/folders/1CrvpP2sJ2uQ6bsgLj-vJJ9RT9vBOMduA...