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Advanced Derivatives

Descrizione

Prerequisites
Derivatives

Objectives
Knowledge of some newer derivative contract and strategies

Description / Program

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

Learning Method / Style of Lessons

Lectures 50% Exercise sessions 50%

Exam Style
Optional Midterm 50%, Final Exam 50-100%

Requested Material
no

Readings/Textbooks

John C. Hull : Options, Futures and Other Derivatives, Pearson, Eigth Edition

Persone

 

Barone Adesi G.

Docente titolare del corso

Pisati M. M.

Assistente

Informazioni aggiuntive

Semestre
Autunnale
Anno accademico
2019-2020
ECTS
3
Lingua
Inglese
Offerta formativa
Master of Science in Economics in Finance, Corso a scelta, Minor in Digital Finance, 2° anno

Master of Science in Economics in Finance, Corso a scelta, Minor in Banking and Finance, 2° anno

Master of Science in Economics in Finance, Corso a scelta, Minor in Quantitative Finance, 2° anno

Master of Science in Financial Technology and Computing, Corso a scelta, Corso, 2° anno