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Advanced Derivatives (SFI)

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

People

 

Barone Adesi G.

Course director

Tubaldi R.

Assistant

Additional information

Semester
Fall
Academic year
2018-2019
ECTS
3
Language
English
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