Curriculum
Programme
Introduction. Mechanics of Futures Markets. Hedging Strategies Using Futures. Interest Rates. Determination of Forward and Futures Prices. Interest Rate Futures. Swaps. Securitization and the Credit Crisis of 2007. OIS Discounting, Credit Issues, and Funding Costs. Mechanics of Options Markets. Properties of Stock Options. Trading Strategies Involving Options. Binomial Trees. Wiener Processes and Ito’s Lemma. The Black-Scholes-Merton Model. Employee Stock Options. Options on Stock Indices and Currencies. Options on Futures. Greek Letters. Volatility Smiles. Basic Numerical Procedures. Value at Risk. Estimating Volatilities and Correlations for Risk Management. Credit Risk. Credit Derivatives. Exotic Options. More on Models and Numerical Procedures. Martingales and Measures. Interest Rate Derivatives: The Standard Market Models. Convexity, Timing and Quanto Adjustments. Interest Rate Derivatives: Models of the Short Rate. HJM, LMM, and Multiple Zero Curves. Swaps Revisited. Energy and Commodity Derivatives. Real Options.Core Documentation
Hull, J., Options, Futures, and Other Derivatives, 9th Edition, Pearson, 2015Reference Bibliography
Castellani, G., De Felice, M., Moriconi, F., Manuale di finanza, vol. I Tassi di interesse, mutui e obbligazioni, Il Mulino, 2005 Castellani, G., De Felice, M., Moriconi, F., Manuale di finanza, vol. II Teoria del portafoglio e del mercato azionario, Il Mulino, 2005 Castellani, G., De Felice, M., Moriconi, F., Manuale di finanza vol. III Modelli stocastici e contratti derivati, Il Mulino, 2005 Luenberger, D., Investment Science, OUP, 2013Type of delivery of the course
Lectures and classesType of evaluation
Written and/or oral exam N.B. ACCORDING TO THE RECTORAL DECREE 703/2020 (EMERGENCY COVID-19), UNTIL NEW PROVISIONS BY THE UNIVERSITY, THE EXAM WILL BE TAKEN ONLY IN ORAL FORM BY MICROSOFT TEAMSProgramme
Introduction. Mechanics of Futures Markets. Hedging Strategies Using Futures. Interest Rates. Determination of Forward and Futures Prices. Interest Rate Futures. Swaps. Securitization and the Credit Crisis of 2007. OIS Discounting, Credit Issues, and Funding Costs. Mechanics of Options Markets. Properties of Stock Options. Trading Strategies Involving Options. Binomial Trees. Wiener Processes and Ito’s Lemma. The Black-Scholes-Merton Model. Employee Stock Options. Options on Stock Indices and Currencies. Options on Futures. Greek Letters. Volatility Smiles. Basic Numerical Procedures. Value at Risk. Estimating Volatilities and Correlations for Risk Management. Credit Risk. Credit Derivatives. Exotic Options. More on Models and Numerical Procedures. Martingales and Measures. Interest Rate Derivatives: The Standard Market Models. Convexity, Timing and Quanto Adjustments. Interest Rate Derivatives: Models of the Short Rate. HJM, LMM, and Multiple Zero Curves. Swaps Revisited. Energy and Commodity Derivatives. Real Options.Core Documentation
Hull, J., Options, Futures, and Other Derivatives, 9th Edition, Pearson, 2015Reference Bibliography
Castellani, G., De Felice, M., Moriconi, F., Manuale di finanza, vol. I Tassi di interesse, mutui e obbligazioni, Il Mulino, 2005 Castellani, G., De Felice, M., Moriconi, F., Manuale di finanza, vol. II Teoria del portafoglio e del mercato azionario, Il Mulino, 2005 Castellani, G., De Felice, M., Moriconi, F., Manuale di finanza vol. III Modelli stocastici e contratti derivati, Il Mulino, 2005 Luenberger, D., Investment Science, OUP, 2013Type of delivery of the course
Lectures and classesType of evaluation
Written and/or oral exam N.B. ACCORDING TO THE RECTORAL DECREE 703/2020 (EMERGENCY COVID-19), UNTIL NEW PROVISIONS BY THE UNIVERSITY, THE EXAM WILL BE TAKEN ONLY IN ORAL FORM BY MICROSOFT TEAMSMutuazione: 21201736 FINANZA QUANTITATIVA E DERIVATI in Finanza e impresa LM-16 N0 GHENO ANDREA
Programme
Introduction. Mechanics of Futures Markets. Hedging Strategies Using Futures. Interest Rates. Determination of Forward and Futures Prices. Interest Rate Futures. Swaps. Securitization and the Credit Crisis of 2007. OIS Discounting, Credit Issues, and Funding Costs. Mechanics of Options Markets. Properties of Stock Options. Trading Strategies Involving Options. Binomial Trees. Wiener Processes and Ito’s Lemma. The Black-Scholes-Merton Model. Employee Stock Options. Options on Stock Indices and Currencies. Options on Futures. Greek Letters. Volatility Smiles. Basic Numerical Procedures. Value at Risk. Estimating Volatilities and Correlations for Risk Management. Credit Risk. Credit Derivatives. Exotic Options. More on Models and Numerical Procedures. Martingales and Measures. Interest Rate Derivatives: The Standard Market Models. Convexity, Timing and Quanto Adjustments. Interest Rate Derivatives: Models of the Short Rate. HJM, LMM, and Multiple Zero Curves. Swaps Revisited. Energy and Commodity Derivatives. Real Options.Core Documentation
Hull, J., Options, Futures, and Other Derivatives, 9th Edition, Pearson, 2015Reference Bibliography
Castellani, G., De Felice, M., Moriconi, F., Manuale di finanza, vol. I Tassi di interesse, mutui e obbligazioni, Il Mulino, 2005 Castellani, G., De Felice, M., Moriconi, F., Manuale di finanza, vol. II Teoria del portafoglio e del mercato azionario, Il Mulino, 2005 Castellani, G., De Felice, M., Moriconi, F., Manuale di finanza vol. III Modelli stocastici e contratti derivati, Il Mulino, 2005 Luenberger, D., Investment Science, OUP, 2013Type of delivery of the course
Lectures and classesType of evaluation
Written and/or oral exam N.B. ACCORDING TO THE RECTORAL DECREE 703/2020 (EMERGENCY COVID-19), UNTIL NEW PROVISIONS BY THE UNIVERSITY, THE EXAM WILL BE TAKEN ONLY IN ORAL FORM BY MICROSOFT TEAMSProgramme
Introduction. Mechanics of Futures Markets. Hedging Strategies Using Futures. Interest Rates. Determination of Forward and Futures Prices. Interest Rate Futures. Swaps. Securitization and the Credit Crisis of 2007. OIS Discounting, Credit Issues, and Funding Costs. Mechanics of Options Markets. Properties of Stock Options. Trading Strategies Involving Options. Binomial Trees. Wiener Processes and Ito’s Lemma. The Black-Scholes-Merton Model. Employee Stock Options. Options on Stock Indices and Currencies. Options on Futures. Greek Letters. Volatility Smiles. Basic Numerical Procedures. Value at Risk. Estimating Volatilities and Correlations for Risk Management. Credit Risk. Credit Derivatives. Exotic Options. More on Models and Numerical Procedures. Martingales and Measures. Interest Rate Derivatives: The Standard Market Models. Convexity, Timing and Quanto Adjustments. Interest Rate Derivatives: Models of the Short Rate. HJM, LMM, and Multiple Zero Curves. Swaps Revisited. Energy and Commodity Derivatives. Real Options.Core Documentation
Hull, J., Options, Futures, and Other Derivatives, 9th Edition, Pearson, 2015Reference Bibliography
Castellani, G., De Felice, M., Moriconi, F., Manuale di finanza, vol. I Tassi di interesse, mutui e obbligazioni, Il Mulino, 2005 Castellani, G., De Felice, M., Moriconi, F., Manuale di finanza, vol. II Teoria del portafoglio e del mercato azionario, Il Mulino, 2005 Castellani, G., De Felice, M., Moriconi, F., Manuale di finanza vol. III Modelli stocastici e contratti derivati, Il Mulino, 2005 Luenberger, D., Investment Science, OUP, 2013Type of delivery of the course
Lectures and classesType of evaluation
Written and/or oral exam N.B. ACCORDING TO THE RECTORAL DECREE 703/2020 (EMERGENCY COVID-19), UNTIL NEW PROVISIONS BY THE UNIVERSITY, THE EXAM WILL BE TAKEN ONLY IN ORAL FORM BY MICROSOFT TEAMSProgramme
Introduction. Mechanics of Futures Markets. Hedging Strategies Using Futures. Interest Rates. Determination of Forward and Futures Prices. Interest Rate Futures. Swaps. Securitization and the Credit Crisis of 2007. OIS Discounting, Credit Issues, and Funding Costs. Mechanics of Options Markets. Properties of Stock Options. Trading Strategies Involving Options. Binomial Trees. Wiener Processes and Ito’s Lemma. The Black-Scholes-Merton Model. Employee Stock Options. Options on Stock Indices and Currencies. Options on Futures. Greek Letters. Volatility Smiles. Basic Numerical Procedures. Value at Risk. Estimating Volatilities and Correlations for Risk Management. Credit Risk. Credit Derivatives. Exotic Options. More on Models and Numerical Procedures. Martingales and Measures. Interest Rate Derivatives: The Standard Market Models. Convexity, Timing and Quanto Adjustments. Interest Rate Derivatives: Models of the Short Rate. HJM, LMM, and Multiple Zero Curves. Swaps Revisited. Energy and Commodity Derivatives. Real Options.Core Documentation
Hull, J., Options, Futures, and Other Derivatives, 9th Edition, Pearson, 2015Reference Bibliography
Castellani, G., De Felice, M., Moriconi, F., Manuale di finanza, vol. I Tassi di interesse, mutui e obbligazioni, Il Mulino, 2005 Castellani, G., De Felice, M., Moriconi, F., Manuale di finanza, vol. II Teoria del portafoglio e del mercato azionario, Il Mulino, 2005 Castellani, G., De Felice, M., Moriconi, F., Manuale di finanza vol. III Modelli stocastici e contratti derivati, Il Mulino, 2005 Luenberger, D., Investment Science, OUP, 2013Type of delivery of the course
Lectures and classesType of evaluation
Written and/or oral exam N.B. ACCORDING TO THE RECTORAL DECREE 703/2020 (EMERGENCY COVID-19), UNTIL NEW PROVISIONS BY THE UNIVERSITY, THE EXAM WILL BE TAKEN ONLY IN ORAL FORM BY MICROSOFT TEAMSMutuazione: 21201736 FINANZA QUANTITATIVA E DERIVATI in Finanza e impresa LM-16 N0 GHENO ANDREA
Programme
Introduction. Mechanics of Futures Markets. Hedging Strategies Using Futures. Interest Rates. Determination of Forward and Futures Prices. Interest Rate Futures. Swaps. Securitization and the Credit Crisis of 2007. OIS Discounting, Credit Issues, and Funding Costs. Mechanics of Options Markets. Properties of Stock Options. Trading Strategies Involving Options. Binomial Trees. Wiener Processes and Ito’s Lemma. The Black-Scholes-Merton Model. Employee Stock Options. Options on Stock Indices and Currencies. Options on Futures. Greek Letters. Volatility Smiles. Basic Numerical Procedures. Value at Risk. Estimating Volatilities and Correlations for Risk Management. Credit Risk. Credit Derivatives. Exotic Options. More on Models and Numerical Procedures. Martingales and Measures. Interest Rate Derivatives: The Standard Market Models. Convexity, Timing and Quanto Adjustments. Interest Rate Derivatives: Models of the Short Rate. HJM, LMM, and Multiple Zero Curves. Swaps Revisited. Energy and Commodity Derivatives. Real Options.Core Documentation
Hull, J., Options, Futures, and Other Derivatives, 9th Edition, Pearson, 2015Reference Bibliography
Castellani, G., De Felice, M., Moriconi, F., Manuale di finanza, vol. I Tassi di interesse, mutui e obbligazioni, Il Mulino, 2005 Castellani, G., De Felice, M., Moriconi, F., Manuale di finanza, vol. II Teoria del portafoglio e del mercato azionario, Il Mulino, 2005 Castellani, G., De Felice, M., Moriconi, F., Manuale di finanza vol. III Modelli stocastici e contratti derivati, Il Mulino, 2005 Luenberger, D., Investment Science, OUP, 2013Type of delivery of the course
Lectures and classesType of evaluation
Written and/or oral exam N.B. ACCORDING TO THE RECTORAL DECREE 703/2020 (EMERGENCY COVID-19), UNTIL NEW PROVISIONS BY THE UNIVERSITY, THE EXAM WILL BE TAKEN ONLY IN ORAL FORM BY MICROSOFT TEAMS