Advanced Derivatives
People
Course director
Sala C.
Assistant
Description
This second-year master course covers advanced models of derivative securities. We will alternate lectures and exercise sessions.
- Finite Differences
- Simulation Methods
- Exotic Options
- Advanced numerical methods
- The standard and the LIBOR Market Model
- Credit risk and credit derivatives
- Mishaps in derivative markets.
The course will be mostly based on the book by Hull, "Options Futures and Other Derivatives", class notes and academic papers.
Education
- Master of Science in Economics in Banking and Finance (until A.Y. 2017), Elective course, 2nd year
- Master of Science in Economics in Finance (until A.Y. 2017), Elective course, 2nd year