Derivatives

Prerequisites
Capital markets

Description / Program

This course provides an introduction to derivatives contracts and covers three main topics: 1) Mechanics of futures markets; hedging strategies using futures; pricing of forwards and futures contracts. 2) Mechanics of options markets; properties of options; trading strategies involving options; option pricing with binomial trees; option pricing with the Black-Scholes-Merton model; options on stock indices and currencies; Greeks and hedging of options; 3) Interest rates; forwards and futures on interest rates; interest rate swaps; currency swaps.

Readings/Textbooks

J. Hull, Options, futures, and other derivatives, Pearson-Prentice Hall, 2018, tenth edition

The course aims at providing the basics for the pricing of financial derivatives and their use for hedging strategies

In presenza

Lectures and exercise sessions

Final Exam 100%. Grading is based on an in-class exam.