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Updated A.Y. 2022-2023

Mathematical Finance

Prof. Stefano Herzel

University of Rome - Tor Vergata Business Administration and Economics Fall Semester 2021

Course Description

The course is an introduction to the theory of valuation of financial assets. It provides the basic tools for evaluating deterministic and random payoffs, covering the following topics

• Deterministic Payoffs

1. The Basic Theory of Interest
2. Fixed Income Securities
3. The term structure of interest rates

• Random Payoffs
1. Mean-Variance Portfolio Theory

2. The Capital Asset Pricing Model


David G. Luenberger, ”Investment Science” , Oxford University Press (2013) (Chapters 1-7)


Basic knowledge of Mathematics and Statistics.


The final grade will be determined by class participation and homework (max. 6 bonus points) and a final exam (written and oral) .

The bonus points will be added to the grade of the final exam.
Bonus points will be valid only until the end of the Winter exam session.