21201736 - QUANTITATIVE FINANCE AND DERIVATIVES

The course has the objective of providing foundations for the valuation of derivatives and for the analysis of quantitative finance problems.

GHENO ANDREA

teacher profile | teaching materials

Mutuazione: 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, 10th Edition, Pearson, 2017

Type of delivery of the course

Lectures and classes N.B. During the period of the health emergency from COVID-19, all the provisions governing the methods of carrying out teaching activities (and student evaluation) will be implemented. In particular, in case of need for distance learning, the Teams platform will be used. Please view the institutional information channels prepared by the University for the purpose of timely knowledge of the emergency measures in force.

Type of evaluation

Written and/or oral exam N.B. During the period of the health emergency from COVID-19, all the provisions governing the methods of carrying out teaching activities (and student evaluation) will be implemented. In particular, in case of need for distance learning, the Teams platform will be used. Please view the institutional information channels prepared by the University for the purpose of timely knowledge of the emergency measures in force.

GHENO ANDREA

teacher profile | teaching materials

Mutuazione: 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, 10th Edition, Pearson, 2017

Type of delivery of the course

Lectures and classes N.B. During the period of the health emergency from COVID-19, all the provisions governing the methods of carrying out teaching activities (and student evaluation) will be implemented. In particular, in case of need for distance learning, the Teams platform will be used. Please view the institutional information channels prepared by the University for the purpose of timely knowledge of the emergency measures in force.

Type of evaluation

Written and/or oral exam N.B. During the period of the health emergency from COVID-19, all the provisions governing the methods of carrying out teaching activities (and student evaluation) will be implemented. In particular, in case of need for distance learning, the Teams platform will be used. Please view the institutional information channels prepared by the University for the purpose of timely knowledge of the emergency measures in force.

GHENO ANDREA

teacher profile | teaching materials

Mutuazione: 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, 10th Edition, Pearson, 2017

Type of delivery of the course

Lectures and classes N.B. During the period of the health emergency from COVID-19, all the provisions governing the methods of carrying out teaching activities (and student evaluation) will be implemented. In particular, in case of need for distance learning, the Teams platform will be used. Please view the institutional information channels prepared by the University for the purpose of timely knowledge of the emergency measures in force.

Type of evaluation

Written and/or oral exam N.B. During the period of the health emergency from COVID-19, all the provisions governing the methods of carrying out teaching activities (and student evaluation) will be implemented. In particular, in case of need for distance learning, the Teams platform will be used. Please view the institutional information channels prepared by the University for the purpose of timely knowledge of the emergency measures in force.

GHENO ANDREA

teacher profile | teaching materials

Mutuazione: 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, 10th Edition, Pearson, 2017

Type of delivery of the course

Lectures and classes N.B. During the period of the health emergency from COVID-19, all the provisions governing the methods of carrying out teaching activities (and student evaluation) will be implemented. In particular, in case of need for distance learning, the Teams platform will be used. Please view the institutional information channels prepared by the University for the purpose of timely knowledge of the emergency measures in force.

Type of evaluation

Written and/or oral exam N.B. During the period of the health emergency from COVID-19, all the provisions governing the methods of carrying out teaching activities (and student evaluation) will be implemented. In particular, in case of need for distance learning, the Teams platform will be used. Please view the institutional information channels prepared by the University for the purpose of timely knowledge of the emergency measures in force.

GHENO ANDREA

teacher profile | teaching materials

Mutuazione: 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, 10th Edition, Pearson, 2017

Type of delivery of the course

Lectures and classes N.B. During the period of the health emergency from COVID-19, all the provisions governing the methods of carrying out teaching activities (and student evaluation) will be implemented. In particular, in case of need for distance learning, the Teams platform will be used. Please view the institutional information channels prepared by the University for the purpose of timely knowledge of the emergency measures in force.

Type of evaluation

Written and/or oral exam N.B. During the period of the health emergency from COVID-19, all the provisions governing the methods of carrying out teaching activities (and student evaluation) will be implemented. In particular, in case of need for distance learning, the Teams platform will be used. Please view the institutional information channels prepared by the University for the purpose of timely knowledge of the emergency measures in force.