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Derivatives

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

People

 

Barone Adesi G.

Course director

Tubaldi R.

Assistant

Additional information

Semester
Spring
Academic year
2018-2019
ECTS
6
Language
English
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