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DERIVATIVES

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DERIVATIVES

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Academic year 2022/2023

Course ID
ECO0207
Teachers
Elisa Luciano (Lecturer)
Lorenzo Schoenleber (Lecturer)
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 - metodi matematici dell'economia e delle scienze att. e finanz.
Delivery
E-learning
Language
English
Attendance
Optional
Type of examination
Written
Type of learning unit
corso
Prerequisites
math for finance
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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. Lab sessions for application of the theory (Excel based) are included. 

 

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Results of learning outcomes

 Ability to evaluate and hedge the main derivative contracts on stock markets.

 

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Program

 

  First part: from Financial Economics to Math Finance (Financial Mathematics), Fin. Math straight away
- Fundamental Pricing Theorem
- Its use for derivative assets
Second part: applications (theory and computer lab):
1. Swaps
2. Forwards and futures
2. European Options:
- Pricing, Black Scholes for stock options, fixed income options and options on futures
- Hedging: naked and covered positions, stop-loss strategies, delta and gamma hedging in discrete and continuous time
- Hedging errors and valuation of hedging strategies
3. Applications of derivative pricing to credit and counterparty risk
- Option theory in order to evaluate credit risk
- Credit derivatives

 

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Course delivery

 lectures + lab

 

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Learning assessment methods

 

  1. The exam will be closed books, with 3 sets of exercises: Luciano (50% of the grade), Kenett (25%), Schoenleber (25%). Students will be given 2 hours. Retake of the entire exam only is possible.

 

 

 

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Support activities

lab

 

Suggested readings and bibliography

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Notes

 

 

 

 

 

 

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