- Oggetto:
- Oggetto:
DERIVATIVES
- Oggetto:
DERIVATIVES
- Oggetto:
Academic year 2018/2019
- Course ID
- ECO0207
- Teaching staff
- Elisa Luciano (Lecturer)
Antonella Tolomeo (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 - 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
- Oggetto:
Sommario del corso
- Oggetto:
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
lectures + lab- Oggetto:
Learning assessment methods
Exam: paper and computer based (Luciano) [56/72 points], assignment (Kenett) [16/72 points]. Students enrolled in A.Y. 2016/17 and before: paper and computer based (Luciano) exam [30 points].
- Oggetto:
Support activities
lab- Oggetto:
Program
First part:
- Valuation
- 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, Black Scholes
- Hedging: naked and covered positions, stop-loss strategies, delta and gamma hedging in discrete and continuous time
- Hedging errors and valuation of hedging strategies
- Module by Professor Ron Kenett
- Credit and counterparty risk
- Option theory in order to evaluate credit risk
- Intensity-based models
Suggested readings and bibliography
- Oggetto:
- B. Dumas, E.Luciano, The Economics of Continuous-time Finance, MIT Press, 2017.
https://mitpress.mit.edu/books/economics-continuous-time-finance
- Oggetto:
Class schedule
- Oggetto:
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:
