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GEST-S497

Modélisation mathématique en finance

academic year
2025-2026

Course teacher(s)

Carolina LAURETI (Coordinator) and Kim OOSTERLINCK

ECTS credits

5

Language(s) of instruction

english

Course content

The course focuses on the debate “classical/mainstream” vs. “behavioural” finance. Students learn to use MATHEMATICAL MODELS to explain financial theories. Students also learn to examine critically the related literature (theory and empirical evidence).

Specifically, the course covers the subject known as HOUSEHOLD FINANCE, that is, households (HHs)’ financial decisions concerning savings, borrowing, and portfolio choices; and market interventions by firms and policy makers. Every year, the specific themes (or "chapters") of the course will change. Just to give an idea, recurrent themes are:

1) Retirement savings puzzles
2) Asset allocation: life cycle portfolio models
3) Asset allocation: prospect theory
4) The "co-holding" puzzle: co-holding expensive credit-card debt together with zero-interest liquid savings
5) Microfinance: financial behaviour of poor households in developing countries
6) Policy intervention
7) Financial product design: commitment devices in finance

Objectives (and/or specific learning outcomes)

Key learning objectives are:

  1. Know and understand “modern” financial theories of individual behaviour

  2.  Be able to present the theories using mathematical models

  3. Understand economic agents’ deviations from a “normative” financial behaviour

  4. ​​​Develop critical thinking skills on the related literature

Prerequisites and Corequisites

Required and Corequired knowledge and skills

Students should be very familiar with algebra and with economic concepts such as:

  • economic agents' time and risk preferences

  • optimisation problems with constraints

  • present value and discounting 

  • expected utility theory and utility function

Teaching methods and learning activities

  • Teachers' lectures

  • Students' oral presentations

  • Q&As and debates

  • Reading of academic articles

References, bibliography, and recommended reading

Core readings in household finance:

  • Campbell, J.Y. (2006). Household Finance. Journal of Finance, 61(4), 1553-1604.

  • Guiso, L., and P. Sodini (2013). Household Finance: An Emerging Field. In G. Constantinides, M. Harris and R. Stulz (Eds.), Handbook of the Economics of Finance (Volume 2B, Chapter 21, pp. 1397-1532). Oxford, UK: Elsevier.

  • Beshears J., J. Choi, D. Laibson and B. Madrian (2018). Behavioral Household Finance. In D. Bernheim, D. Laibson and S. DellaVigna (Eds.), Handbook of Behavioral Economics - Foundations and Applications 1 (Chapter 3, pp. 177-276). Oxford, UK: Elsevier.

  • Gomes, F., M. Haliassos and T.  Ramadorai (2021). Household finance. Journal of Economic Literature, 59(3), 919-1000.

In addition to the core readings, the teacher will provide a list of academic articles on specific topics in household finance. This list changes every year. 

Contribution to the teaching profile

  • Integrate sustainable development into problem analysis

  • Master and apply key economic and management concepts, frameworks and theories in a professional context to identify a business opportunity and create a relevant innovative solution for it

  • Embed scientific and technological processes to formulate a business issue into a well-defined problem and propose a solution

  • Translate a strategy into an actionable plan including the financial implications of the project

  • Adopt a scientific approach to data collection, research and analysis and communicate results using clear, structured and sophisticated arguments.

  • Display critical thinking and develop autonomous learning strategies and techniques

  • Apply quantitative and qualitative techniques to support data analysis using standard office and statistical software

  • Work and communicate effectively as part of a team in an international and multicultural environment

  • Demonstrate a strong work ethic to foster a socially responsible behaviour in the workplace

Other information

Contacts

Carolina Laureti
carolina.laureti@ulb.be
0032 496 254995

Campus

Solbosch

Evaluation

Method(s) of evaluation

  • written examination
  • Oral presentation

written examination

  • Out-of-session examination
  • Open book examination
  • Open question with developed answer

Oral presentation

Mark calculation method (including weighting of intermediary marks)

The assessment is based on:
- Individual (or group*) presentation (65%)
- Final questionnaire (35%)

In addition, 1 bonus point (added to the above grade) is given for full attendance, that is, absence to one session only.

(*) This depends on the number of students participating to the course.

Language(s) of evaluation

  • english
  • (if applicable french )

Programmes