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DERIVATIVES

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DERIVATIVES

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Academic year 2020/2021

Course ID
ECO0207
Teaching staff
Elisa Luciano (Lecturer)
Dror Yossef Kenett (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
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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Course delivery

 lectures + lab

 

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Learning assessment methods

 

The final grade is a weighted average of the grades (if greater or equal to 18) obtained from Dr. Kenett's and Prof. Luciano's part. The weights are 16/72, 56/72, the number of hours of each part. Students enrolled in the course before the ay 2018/19 are allowed to take only Prof. Luciano's exam. They express the will to take also the other part by taking the corresponding exam. 

Further details: 

  1. Prof. Luciano. closed-book exam, 3 exercises, 1.5 hours to answer. Use of xls allowed. Retake according to the University's rules. If the exam is on-line, at the end of the written exam the names of  up to 10% of the enrolled students will be drawn. Those students will take an oral exam; the other students are allowed to ask for the oral too. The grade of the oral can bring the grade of the written part up or down. The oral taks place immediately after the written part.
  2. Dr. Kenett: The exam consists in an assignment. The first group assignment  will be given on the 27th of November. Students will have ten days to deliver them to the e-mail address of Dr. Kenett. Groups will be of 4 students, decided by the instructor. If a student wants to retake the assignment, there will be an individual assignment. To organize the individual assignments, students have to get in contact with Dr. Kenett at least 20 working  days before the date of the corresponding  exam by Prof. Luciano. In case they do not, grading will not be possible. both the grade of the group and individual assignment last till the end of the academic year. 

 

 

 

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Support activities

lab

 

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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

 

Suggested readings and bibliography

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for Prof. Luciano's part:

a) B. Dumas, E.Luciano, The Economics of Continuous-time Finance, MIT Press, 2017.

https://mitpress.mit.edu/books/economics-continuous-time-finance

b) J.Hull, Intro to derivative securities, 10th edition

 

  



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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".

 

 

 

 

 

 

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