Derivatives

References:

The reference book used for the course is "Options futures and other derivatives" by John Hull book edition 2012 and 2015.

Program:

(1) Introduction

(2) Mechanics of Futures Markets

(3) Hedging Strategies Using Futures

(4) Determination of Forward and Futures Prices

(5) Mechanics of Options Markets

(6) Properties of Stock Options

(7) Trading Strategies Involving Options

(8) Binomial Trees

(9) Wiener Processes and Ito's Lemma

(10) The Black-Scholes-Merton Model

(11) Greek Letters

(12) Interest Rates

(13) Interest Rate Futures

(14) Swaps

Style of the lessons:

The course will be divided in two parts: theory and exercises.

The theoretical part will follow the chapters of the book. For each chapter you will also solve a set of exercises taken from the book.

You can find the exercises on: http://www.icorsi.ch, iCorsi2, USI, Corsi MasterECO, Derivatives (you have to subscribe to the course).

In the same website you will find the solutions to each set after we solve it in class.

You are encouraged to solve the sets before the discussion in class. If you want, you can deliver them one week before the class. In this case you will receive them checked on the day of the discussion. It is not mandatory to deliver the exercises and they will not award you additional points for the final exam but we suggest to try to solve them by yourself.

Style of the exam:

You will have a final written exam. The style of the exercises in the exam will be very similar to the exercises you are going to solve during the lessons. Being an open-book, open-notes exam, the exercises will be very similar, but not the same as the ones done in class. In the final exam you can be required to answer theoretical and/or multiple-choice questions as well.

Resources allowed during the exam: the exam will be open-book and open-notes. You are also allowed to use a calculator and a dictionary.