Derivatives
Persone
Docente titolare del corso
Tubaldi R.
Docente titolare del corso
Descrizione
Prerequisites
Capital markets
Objectives
Knowledge of basic derivative contracts and strategies
Description / Program
(1) Introduction
(2) Mechanics of Futures Markets
(3) Hedging Strategies Using Futures
(4) Mechanics of Options Markets
(5) Properties of Stock Options
(6) Trading Strategies Involving options
(7) Binomial Trees
(8) Wiener Processes and Ito's Lemma
(9) The Black-Scholes-Merton Model
(10) Greek Letters
(11) Interest Rates
(12) Determination of Forward and Futures Prices
(13) Interest Rate Futures
(14) Swaps
Learning Method / Style of Lessons
Lectures 50% Exercise sessions 50%
Exam Style
Optional Midterm 50%, Final Exam 50-100%
Readings/Textbooks
John C. Hull : Options, Futures and Other Derivatives, Pearson, Eigth Edition
Offerta formativa
- Master of Science in Economics and Communication in Financial Communication, Corso a scelta, Corso a scelta, 2° anno
- Master of Science in Economics in Finance, Corso obbligatorio, Minor in Banking and Finance, 1° anno
- Master of Science in Financial Technology and Computing, Corso a scelta, Corso, 1° anno
