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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%
Compliant with COVID-19 guidelines

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

Ye Y.

Assistente

Informazioni aggiuntive

Semestre
Autunnale
Anno accademico
2021-2022
ECTS
3
Lingua
Inglese
Offerta formativa
Master of Science in Economics in Finance, Corso a scelta, Digital Finance, 2° anno
Master of Science in Economics in Finance, Corso a scelta, Banking and Finance, 2° anno
Master of Science in Economics in Finance, Corso a scelta, Quantitative Finance, 2° anno
Master of Science in Financial Technology and Computing, Corso a scelta, 2° anno