Advanced Derivatives (SFI)
People
Course director
Tubaldi R.
Assistant
Description
Prerequisites
Derivatives
Objectives
Knowledge of some newer derivative contract and strategies
Description / Program
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
Learning Method / Style of Lessons
Lectures 50% Exercise sessions 50%
Exam Style
Optional Midterm 50%, Final Exam 50-100%
Requested Material
no
Readings/Textbooks
John C. Hull : Options, Futures and Other Derivatives, Pearson, Eigth Edition
Education
- Master of Science in Economics in Banking and Finance (until A.Y. 2017), Elective course, Elective course, 2nd year
- Master of Science in Economics in Finance (until A.Y. 2017), Elective course, Elective course, 2nd year
- Master of Science in Financial Technology and Computing, Elective course, Lecture, 2nd year
