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Advanced Derivatives

Descrizione

This second-year master course covers advanced models of derivative securities. We will alternate lectures and exercise sessions.

  1. Finite Differences
  2. Simulation Methods
  3. Exotic Options
  4. Advanced numerical methods
  5. The standard and the LIBOR Market Model
  6. Credit risk and credit derivatives
  7. Mishaps in derivative markets.

The course will be mostly based on the book by Hull, "Options Futures and Other Derivatives", book edition 2012 and 2015 class notes and academic papers.

Persone

 

Barone Adesi G.

Docente titolare del corso

Sala C.

Assistente

Informazioni aggiuntive

Semestre
Autunnale
Anno accademico
2016-2017
ECTS
3
Offerta formativa