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DERIVATIVES
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DERIVATIVES
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Academic year 2016/2017
- Course ID
- ECO0207
- Teaching staff
- Elisa Luciano (Titolare del corso)
Andrea Romeo (Titolare del corso) - Degree course
- Finance
Insurance and Statistics - Year
- 2° anno
- Teaching period
- Primo semestre
- Type
- Caratterizzante
- Credits/Recognition
- 9
- Course disciplinary sector (SSD)
- SECS-S/06 - metodi matematici dell'economia e delle scienze att. e finanz.
- Delivery
- Tradizionale
- Language
- Italiano
- Attendance
- Facoltativa
- Type of examination
- Orale
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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. It covers both derivatives traded in regulated markets and OTC ones: special emphasis is given to counterparty risk. Lab sessions for application of the theory (Excel based) are included.- Oggetto:
Results of learning outcomes
Ability to evaluate and hedge the main derivative contracts on stock markets.- Oggetto:
Course delivery
The course is articulated in hours of formal in‐class lecture time, and in hours of at‐home work solving practical exercises.- Oggetto:
Learning assessment methods
Exam: paper and computer based.
(Second part of the course: two sections.
First section: one or more question about the theoretical part.
Second section: one exercise on Excel.)
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Support activities
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Program
First part: from Financial Economics to Financial Mathematics
- The portfolio problem
- Absence of arbitrage and equilibrium
- Valuation in complete and incomplete markets
- Arrow Debreu prices
- Kernels
- Risk neutral Probabilities
- Fundamental pricing Theorem
- Its use for derivative assets
Second part: applications (theory and computer lab):
- Futures
- European Options:
- Pricing, Binomial and Black Scholes models
- Hedging: naked and covered positions, stop-loss strategies, delta and gamma hedging in discrete and continuous time
- Hedging errors and valuation of hedging strategies
- Simulation of asset returns
Third part: Credit and counterparty risk
- Option theory in order to evaluate credit risk
Intensity-based models
Suggested readings and bibliography
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- Jarrow, R:, Turnbull, S., Derivative Securities, South Western Publishing, 1996 (1st ed.) or 1999 (2nd edition): http://www.amazon.com/Derivative-Securities-Robert-Jarrow/dp/0538877405
•Hull, J. (2014). Options, Futures, and Other Derivatives, (9th Edition), Pearson.
•Ballotta L, Fusai, G. (2015), 'An Introduction to Stochastic Calculus with Matlab examples' in Andrea Roncoroni, Gianluca Fusai, Mark Cummins (ed.), Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management, Wiley
· Jarrow, R:, Turnbull, S., Derivative Securities, South Western Publishing, 1996 (1st ed.) or 1999 (2nd edition): http://www.amazon.com/Derivative-Securities-Robert-Jarrow/dp/0538877405
· Hull, J. (2014). Options, Futures, and Other Derivatives, (9th Edition), Pearson.
· Ballotta L, Fusai, G. (2015), 'An Introduction to Stochastic Calculus with Matlab examples' in Andrea Roncoroni, Gianluca Fusai, Mark Cummins (ed.),Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management, Wiley.
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Class schedule
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Note
You can find an updated version of lectures timetable in the section "Materiali didattici".
Potete trovare l'aggiornamento dell'orario delle lezioni nella sezione "Materiali didattici".
Lectures on November 18 and November 21 will be held in room 10, 8.30am. Lab classes will be on November 25 and 28.
Homework on Poisson processes, due on November 28, 2016.
Insurance Regulation: Solvency II
Bank Regulation: from Basel I to Basel IV"
Relator: Elisabetta Cagna
Capital Markets (modulo Capital Markets) - Tuesday 4 April h.16 Aula 13- Oggetto:
