Derivatives
People
Course director
Assistant
Description
Prerequisites
Capital markets
Description / Program
This course provides an introduction to derivatives contracts and covers three main topics: 1) Mechanics of futures markets; hedging strategies using futures; pricing of forwards and futures contracts. 2) Mechanics of options markets; properties of options; trading strategies involving options; option pricing with binomial trees; option pricing with the Black-Scholes-Merton model; options on stock indices and currencies; Greeks and hedging of options; 3) Interest rates; forwards and futures on interest rates; interest rate swaps; currency swaps.
Readings/Textbooks
J. Hull, Options, futures, and other derivatives, Pearson-Prentice Hall, 2018, tenth edition
Objectives
The course aims at providing the basics for the pricing of financial derivatives and their use for hedging strategies
Teaching mode
In presence
Learning methods
Lectures and exercise sessions
Examination information
Final Exam 100%. Grading is based on an in-class, computer exam.
Education
- Master of Science in Economics in Finance, Lecture, 1st year
