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DERIVATIVES
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DERIVATIVES
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Academic year 2017/2018
- Course ID
- ECO0207
- Teaching staff
- Elisa Luciano (Lecturer)
Antonella Tolomeo (Assistant technician) - Degree course
- Finance
Insurance and Statistics - Year
- 2nd year
- Type
- Distinctive
- Credits/Recognition
- 9
- Course disciplinary sector (SSD)
- SECS-S/06 - metodi matematici dell'economia e delle scienze att. e finanz.
- Delivery
- Formal authority
- Language
- English
- Attendance
- Optional
- Type of examination
- Written
- 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.- Oggetto:
Results of learning outcomes
Ability to evaluate and hedge the main derivative contracts on stock markets.- Oggetto:
Course delivery
lectures + lab- Oggetto:
Learning assessment methods
Exam: paper and computer based. Open questions. Maximum grade for each question will be specified during each single exam, based on the text. Total grade 30. Time: 1.5 hour. Students entering the exam cannot withdraw.
La verifica della preparazione degli studenti avverrà con esame Written composto da domande aperte. I punti totali (30) saranno suddivisi sulla base delle domande presenti nella prova per importanza ed estensione e preannunciati in sede d'esame. Il punteggio finale sarà dato dalla somma dei punteggi parziali. Non è prevista una prova Oral. La durata della prova scritta è di 90 minuti. Non è previsto il ritiro una volta distribuito il compito.
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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
Suggested readings and bibliography
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- B. Dumas, E.Luciano, The Economics of Continuous-time Finance, MIT Press, 2017.
https://mitpress.mit.edu/books/economics-continuous-time-finance
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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".- Oggetto:
