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DERIVATIVES
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DERIVATIVES
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Academic year 2023/2024
- Course ID
- ECO0207
- Teachers
- Roberto Marfe' (Lecturer)
Giulia Livieri (Lecturer)
Alessandro Anfosso (Assistant technician) - Degree course
- Finance
Insurance and Statistics - Year
- 2nd year
- Teaching period
- First semester
- Type
- Distinctive
- Credits/Recognition
- 9
- Course disciplinary sector (SSD)
- SECS-S/06 - mathematical methods of economy, finance and actuarial sciences
- Delivery
- Formal authority
- Language
- English
- Attendance
- Obligatory
- Type of examination
- Written
- Prerequisites
- The main principles of Finance, Statistics, Probability Theory, and Stochastic Calculus are necessary.
- Propedeutic for
- Advanced Asset Pricing
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Sommario del corso
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Course objectives
The course aims at presenting the main valuation and hedging techniques for derivatives, mainly futures and options. Both theory and practical applications are covered.- Oggetto:
Results of learning outcomes
Ability to evaluate and hedge the main derivative contracts on stock markets.- Oggetto:
Program
This course provides a broad understanding of derivatives contracts, their pricing, and their use.
The main topics are the following:
- An economic foundation of derivative pricing
- Futures and forwards
- European options and the Black-Scholes model
- Static and dynamic hedging
- Implied volatility
- Credit derivatives
- Machine learning applications (if time permits)
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Course delivery
Both frontal lectures and exercise sessions
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Learning assessment methods
The exam will be written, closed-book, and will last 2 hours.
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Support activities
A number of hours is devoted to exercise/lab sessions.Suggested readings and bibliography
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- Book
- Title:
- Derivatives Markets
- Year of publication:
- 2012
- Publisher:
- Pearson
- Author:
- McDonalds, Robert
- ISBN
- Notes:
- Disponibile copia digitale su piattaforma Vitalsource
- Required:
- No
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- Book
- Title:
- Options, Futures, and Other Derivatives
- Year of publication:
- 2017
- Publisher:
- Pearson
- Author:
- Hull, John
- ISBN
- Notes:
- Disponibile copia digitale su piattaforma Vitalsource
- Required:
- No
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Notes
Check regularly the Moodle of the course for information and updates.
Students are required to register both on the website of the course and on the Moodle.
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Courses that borrow this teaching
- Derivatives (INT0746)Corso di laurea magistrale Interateneo in Fisica dei sistemi complessi
- Derivatives (INT0746)
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Class schedule
- Enroll
- Open
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