Derivatives
People
Berardi A.
Course director
Description
Prerequisites
Capital markets
Objectives
The course aims at providing the basics for the pricing of financial derivatives and their use for hedging strategies
Description / Program
The program of the course comprises an introduction to derivatives and three main building blocks: 1) Mechanics of futures markets; hedging strategies using futures; pricing of forwards and futures on stocks, stock indices, currencies, commodities. 2) Mechanics of options markets; properties of stock options; trading strategies involving options; option pricing with binomial trees; option pricing with the Black-Scholes-Merton model; options on stock indices and currencies; the Greeks and hedging of options; 3) Interest rates; bond pricing; forwards and futures on interest rates; interest rate swaps; currency swaps; valuation of swaps.
Learning Method / Style of Lessons
Lectures and exercise sessions
Compliant with COVID-19 guidelines
Exam Style
Optional Midterm 50%, Final Exam 50-100%
Grading is based on an in-class, closed-book exam
Readings/Textbooks
J. Hull, Options, futures, and other derivatives, Pearson-Prentice Hall, 2018, tenth edition
Education
- 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
