Derivatives
People
Course director
Tubaldi R.
Course director
Description
Prerequisites
Capital markets
Objectives
Knowledge of basic derivative contracts and strategies
Description / 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
Learning Method / Style of Lessons
Lectures 50% Exercise sessions 50%
Exam Style
Optional Midterm 50%, Final Exam 50-100%
Readings/Textbooks
John C. Hull : Options, Futures and Other Derivatives, Pearson, Eigth Edition
Education
- Master of Science in Economics and Communication in Financial Communication, Elective course, Elective course, 2nd year
- Master of Science in Economics in Finance, Core course, Minor in Banking and Finance, 1st year
- Master of Science in Financial Technology and Computing, Elective course, Lecture, 1st year
