Advanced Derivatives (SFI)
Persone
Docente titolare del corso
Tubaldi R.
Assistente
Descrizione
This second-year master course covers advanced models of derivative securities. We will alternate lectures and exercise sessions.
- Finite Differences
- Simulation Methods
- Exotic Options
- Advanced numerical methods
- The standard and the LIBOR Market Model
- Credit risk and credit derivatives
- Mishaps in derivative markets.
The course will be mostly based on the book by Hull, "Options Futures and Other Derivatives", class notes and academic papers.
Offerta formativa
- Master of Science in Economics in Banking and Finance (until A.Y. 2017), Corso a scelta, 2° anno
- Master of Science in Economics in Finance (until A.Y. 2017), Corso a scelta, 2° anno
