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", book edition 2012 and 2015 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
