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Derivatives

Descrizione

Prerequisites
Capital markets

Objectives
Knowledge of basic derivative contracts and strategies

Description / Program

(1) Introduction to Derivatives

(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

Persone

 

Barone Adesi G.

Docente titolare del corso

Pisati M. M.

Assistente

Informazioni aggiuntive

Semestre
Primaverile
Anno accademico
2019-2020
ECTS
6
Lingua
Inglese
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