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Derivatives

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

People

 

Berardi A.

Course director

Additional information

Semester
Spring
Academic year
2021-2022
ECTS
6
Language
English
Education
Master of Science in Economics in Finance, Core course, Banking and Finance, 1st year
Master of Science in Financial Technology and Computing, Elective course, 1st year