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DERIVATIVES
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DERIVATIVES
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Academic year 2022/2023
- Course ID
- ECO0207
- Teaching staff
- 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.- Oggetto:
Results of learning outcomes
Ability to evaluate and hedge the main derivative contracts on stock markets.- Oggetto:
Course delivery
Both frontal lectures and laboratory sessions
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Learning assessment methods
- 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.- Oggetto:
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)
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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Class schedule
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Note
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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