Carlo Sgarra is Associate Professor of Mathematical Finance at Politecnico di Milano. The main subjects of his research are exotic option pricing, valuation problems in incomplete market models, in particular stochastic volatility models, models with jumps and models with transaction cost. His most recent projects are focused on energy market models and pricing and hedging of energy commodity derivatives: parameter estimation methods and risk premium valuation for different model classes. He published about 30 papers on international journals and three textbooks on Mathematical Finance.

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- 1. Short Review of Probability and of Stochastic Processes. - 2. Portfolio Optimization in Discrete-Time Models. - 3. Binomial Model for Option Pricing. - 4. Absence of Arbitrage and Completeness of Market Models. - 5. Itô's Formula and Stochastic Differential Equations. - 6. Partial Differential Equations in Finance. - 7. Black-Scholes Model for Option Pricing and Hedging Strategies. - 8. American Options. - 9. Exotic Options. - 10. Interest Rate Models. - 11. Pricing Models Beyond Black-Scholes. - 12. Risk Measures: Value at Risk and Beyond.