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DERIVATIVES

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DERIVATIVES

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Academic year 2022/2023

Course ID
ECO0207
Teachers
Roberto Marfe' (Lecturer)
Lorenzo Schoenleber (Lecturer)
Silvia Salemme (Assistant)
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
Optional
Type of examination
Written
Prerequisites
The main principles of Finance, Statistics, and Probability Theory are necessary. A basic knowledge of Python is quite recommended.
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 application are covered.

 

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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

 

This course provides a broad understanding of derivatives contracts, their pricing, and their use.

The course consists of two parts. The first part is taught by Roberto Marfè and concerns the theory of derivatives. The second part is taught by Lorenzo Schoenleber and provides a number of applications, implemented in Python. A number of lectures are also devoted to exercise sessions, taught by Silvia Salemme.

 

The main topics are the following:

First Part (Theory)

  • An economic foundation of derivative pricing
  • Swaps and forwards
  • European options and the Black-Scholes model
  • Static and dynamic hedging
  • Credit derivatives (if time permits)

 

Second Part (Applications)

  • Derivative pricing via Monte Carlo simulations
  • Option trading strategies
  • Implied volatility
  • Options on cryptocurrencies (if time permits)

 

 

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Course delivery

 

Both frontal lectures and laboratory sessions

 

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Learning assessment methods

 

  1. The exam will be written, closed-books, 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  
Required:  
No


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Book
Title:  
Options, Futures, and Other Derivatives
Year of publication:  
2017
Publisher:  
Pearson
Author:  
Hull, John
ISBN  
Required:  
No


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Book
Title:  
Option pricing models and volatility using Excel-VBA
Year of publication:  
2007
Publisher:  
Wiley
Author:  
Rouah, Fabrice Douglas
ISBN  
Required:  
No


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Book
Title:  
Option volatility and princing strategies : advances trading techniques for professionals
Year of publication:  
1988
Publisher:  
Probus
Author:  
Natenberg, Sheldon
ISBN  
Required:  
No
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In addition to the teaching materials, useful readings are:

Robert, McDonald - Derivatives Markets

John, Hull - Options, Futures, and Other Derivatives

Rouah, Vainberg - Option Pricing Models and Volatility Using Excel-VBA

Sheldon Natenberg - Option Volatility & Pricing



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Notes

The course will start on October 17th. 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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