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Derivatives (SFI)

Description

References:

The reference book used for the course is "Options futures and other derivatives" 6/7th Edition, by John Hull.

Program:

(1) Introduction

(2) Mechanics of Futures Markets

(3) Hedging Strategies Using Futures

(4) Mechanics of Options Markets

(5) Properties of Stock Options

(6) Trading Strategies Involving options

(7) Binomial Trees

(8) Wiener Processes and Ito's Lemma

(9) The Black-Scholes-Merton Model

(10) Greek Letters

(11) Interest Rates

(12) Determination of Forward and Futures Prices

(13) Interest Rate Futures

(14) Swaps

Style of the lessons:

The course is divided in two parts: theory and exercises.

Both follow the chapters of the book. For each chapter we will solve, a set of exercises taken from the book.

The exercises sessions are available, week by week, on http://www.icorsi.ch/ ) iCorsi2) USI ) Corsi Master ECO ) Derivatives (you have to subscribe to the course). On the same website you will find the solutions to each exercises session.

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:

Final written exam. The style of the exercises in the exam will be similar to the exercises you are going to solve during the exercise sessions. Being an open-book open-notes exam, the exercises will be similar but not the same as the ones done in class. It could be required to answer theoretical and/or multiple-choice questions as well.

Resources allowed during the exam: The exam is open-book and open notes. Calculator and  dictionary are allowed. Mobile phone and other devices are strictly forbidden.

People

 

Barone Adesi G.

Course director

Tubaldi R.

Assistant

Additional information

Semester
Spring
Academic year
2017-2018
ECTS
6
Education
Master of Science in Economics and Communication in Financial Communication, Elective course, 1st year

Master of Science in Economics in Banking and Finance, Core course, Fundamental knowledges, 1st year

Master of Science in Economics in Finance, Core course, Fundamental knowledges, 1st year