21210096-1 - FINANCIAL AND ACTUARIAL SCIENCES

The course is structured in two modules: Financial Sciences and Actuarial Sciences.
The objective of the Financial Sciences module is to explore topics for which the basic course on Financial mathematics has already laid the foundations. In this module three main areas will be covered: basic stochastic calculus, derivatives pricing, and derivatives hedging.
The objective of the Actuarial Sciences module is to introduce to life contingencies, the theory behind the actuarial work around life insurance and pension funds and will appeal to the student who likes applied mathematics. In addition to model of life contingencies, various forms of life insurance and their mechanism are discussed in their basic model and it is shown how to calculate net premium and reserves.

Curriculum

teacher profile | teaching materials

Mutuazione: 21210096-1 FINANCIAL AND ACTUARIAL SCIENCES in Finanza e impresa LM-16 R Ricci Jacopo Maria

Programme

Course Topics
Part 1: Introduction to Derivatives
- Definition and purpose of derivatives
- Types of derivatives: forwards, futures, options, and swaps (brief overview)
- Underlying assets and market participants
- Derivatives markets: OTC vs. exchange-traded

Part 2: Forwards and Futures
- Mechanics of forward contracts
- Pricing and valuation of forward contracts
- Futures contracts: market structure and clearinghouses
- Pricing of futures and the concept of arbitrage
- Hedging with futures

Part 3: Options and Option Strategies
- Types of options: calls and puts
- Payoff diagrams and profit functions
- Option trading strategies: spreads, straddles, strangles, collars
- Synthetic positions and put-call parity

Part 4: Option Pricing – Binomial Model
- Introduction to discrete-time models
- One-period and multi-period binomial trees
- Risk-neutral valuation
- American options and early exercise

Part 5: Black-Scholes-Merton Model
- Assumptions and derivation of the BSM model
- The BSM formula and its applications
- Pricing European call and put options
- The Greeks: Delta, Gamma, Theta, Vega, Rho
- Volatility and implied volatility

Core Documentation

Hull J.C. (2018) Options, Futures, and Other Derivatives (10th Edition) (Pearson).

teacher profile | teaching materials

Mutuazione: 21210096-1 FINANCIAL AND ACTUARIAL SCIENCES in Finanza e impresa LM-16 R Ricci Jacopo Maria

Programme

Course Topics
Part 1: Introduction to Derivatives
- Definition and purpose of derivatives
- Types of derivatives: forwards, futures, options, and swaps (brief overview)
- Underlying assets and market participants
- Derivatives markets: OTC vs. exchange-traded

Part 2: Forwards and Futures
- Mechanics of forward contracts
- Pricing and valuation of forward contracts
- Futures contracts: market structure and clearinghouses
- Pricing of futures and the concept of arbitrage
- Hedging with futures

Part 3: Options and Option Strategies
- Types of options: calls and puts
- Payoff diagrams and profit functions
- Option trading strategies: spreads, straddles, strangles, collars
- Synthetic positions and put-call parity

Part 4: Option Pricing – Binomial Model
- Introduction to discrete-time models
- One-period and multi-period binomial trees
- Risk-neutral valuation
- American options and early exercise

Part 5: Black-Scholes-Merton Model
- Assumptions and derivation of the BSM model
- The BSM formula and its applications
- Pricing European call and put options
- The Greeks: Delta, Gamma, Theta, Vega, Rho
- Volatility and implied volatility

Core Documentation

Hull J.C. (2018) Options, Futures, and Other Derivatives (10th Edition) (Pearson).

teacher profile | teaching materials

Mutuazione: 21210096-1 FINANCIAL AND ACTUARIAL SCIENCES in Finanza e impresa LM-16 R Ricci Jacopo Maria

Programme

Course Topics
Part 1: Introduction to Derivatives
- Definition and purpose of derivatives
- Types of derivatives: forwards, futures, options, and swaps (brief overview)
- Underlying assets and market participants
- Derivatives markets: OTC vs. exchange-traded

Part 2: Forwards and Futures
- Mechanics of forward contracts
- Pricing and valuation of forward contracts
- Futures contracts: market structure and clearinghouses
- Pricing of futures and the concept of arbitrage
- Hedging with futures

Part 3: Options and Option Strategies
- Types of options: calls and puts
- Payoff diagrams and profit functions
- Option trading strategies: spreads, straddles, strangles, collars
- Synthetic positions and put-call parity

Part 4: Option Pricing – Binomial Model
- Introduction to discrete-time models
- One-period and multi-period binomial trees
- Risk-neutral valuation
- American options and early exercise

Part 5: Black-Scholes-Merton Model
- Assumptions and derivation of the BSM model
- The BSM formula and its applications
- Pricing European call and put options
- The Greeks: Delta, Gamma, Theta, Vega, Rho
- Volatility and implied volatility

Core Documentation

Hull J.C. (2018) Options, Futures, and Other Derivatives (10th Edition) (Pearson).

teacher profile | teaching materials

Mutuazione: 21210096-1 FINANCIAL AND ACTUARIAL SCIENCES in Finanza e impresa LM-16 R Ricci Jacopo Maria

Programme

Course Topics
Part 1: Introduction to Derivatives
- Definition and purpose of derivatives
- Types of derivatives: forwards, futures, options, and swaps (brief overview)
- Underlying assets and market participants
- Derivatives markets: OTC vs. exchange-traded

Part 2: Forwards and Futures
- Mechanics of forward contracts
- Pricing and valuation of forward contracts
- Futures contracts: market structure and clearinghouses
- Pricing of futures and the concept of arbitrage
- Hedging with futures

Part 3: Options and Option Strategies
- Types of options: calls and puts
- Payoff diagrams and profit functions
- Option trading strategies: spreads, straddles, strangles, collars
- Synthetic positions and put-call parity

Part 4: Option Pricing – Binomial Model
- Introduction to discrete-time models
- One-period and multi-period binomial trees
- Risk-neutral valuation
- American options and early exercise

Part 5: Black-Scholes-Merton Model
- Assumptions and derivation of the BSM model
- The BSM formula and its applications
- Pricing European call and put options
- The Greeks: Delta, Gamma, Theta, Vega, Rho
- Volatility and implied volatility

Core Documentation

Hull J.C. (2018) Options, Futures, and Other Derivatives (10th Edition) (Pearson).

teacher profile | teaching materials

Mutuazione: 21210096-1 FINANCIAL AND ACTUARIAL SCIENCES in Finanza e impresa LM-16 R Ricci Jacopo Maria

Programme

Course Topics
Part 1: Introduction to Derivatives
- Definition and purpose of derivatives
- Types of derivatives: forwards, futures, options, and swaps (brief overview)
- Underlying assets and market participants
- Derivatives markets: OTC vs. exchange-traded

Part 2: Forwards and Futures
- Mechanics of forward contracts
- Pricing and valuation of forward contracts
- Futures contracts: market structure and clearinghouses
- Pricing of futures and the concept of arbitrage
- Hedging with futures

Part 3: Options and Option Strategies
- Types of options: calls and puts
- Payoff diagrams and profit functions
- Option trading strategies: spreads, straddles, strangles, collars
- Synthetic positions and put-call parity

Part 4: Option Pricing – Binomial Model
- Introduction to discrete-time models
- One-period and multi-period binomial trees
- Risk-neutral valuation
- American options and early exercise

Part 5: Black-Scholes-Merton Model
- Assumptions and derivation of the BSM model
- The BSM formula and its applications
- Pricing European call and put options
- The Greeks: Delta, Gamma, Theta, Vega, Rho
- Volatility and implied volatility

Core Documentation

Hull J.C. (2018) Options, Futures, and Other Derivatives (10th Edition) (Pearson).

teacher profile | teaching materials

Mutuazione: 21210096-1 FINANCIAL AND ACTUARIAL SCIENCES in Finanza e impresa LM-16 R Ricci Jacopo Maria

Programme

Course Topics
Part 1: Introduction to Derivatives
- Definition and purpose of derivatives
- Types of derivatives: forwards, futures, options, and swaps (brief overview)
- Underlying assets and market participants
- Derivatives markets: OTC vs. exchange-traded

Part 2: Forwards and Futures
- Mechanics of forward contracts
- Pricing and valuation of forward contracts
- Futures contracts: market structure and clearinghouses
- Pricing of futures and the concept of arbitrage
- Hedging with futures

Part 3: Options and Option Strategies
- Types of options: calls and puts
- Payoff diagrams and profit functions
- Option trading strategies: spreads, straddles, strangles, collars
- Synthetic positions and put-call parity

Part 4: Option Pricing – Binomial Model
- Introduction to discrete-time models
- One-period and multi-period binomial trees
- Risk-neutral valuation
- American options and early exercise

Part 5: Black-Scholes-Merton Model
- Assumptions and derivation of the BSM model
- The BSM formula and its applications
- Pricing European call and put options
- The Greeks: Delta, Gamma, Theta, Vega, Rho
- Volatility and implied volatility

Core Documentation

Hull J.C. (2018) Options, Futures, and Other Derivatives (10th Edition) (Pearson).

teacher profile | teaching materials

Mutuazione: 21210096-1 FINANCIAL AND ACTUARIAL SCIENCES in Finanza e impresa LM-16 R Ricci Jacopo Maria

Programme

Course Topics
Part 1: Introduction to Derivatives
- Definition and purpose of derivatives
- Types of derivatives: forwards, futures, options, and swaps (brief overview)
- Underlying assets and market participants
- Derivatives markets: OTC vs. exchange-traded

Part 2: Forwards and Futures
- Mechanics of forward contracts
- Pricing and valuation of forward contracts
- Futures contracts: market structure and clearinghouses
- Pricing of futures and the concept of arbitrage
- Hedging with futures

Part 3: Options and Option Strategies
- Types of options: calls and puts
- Payoff diagrams and profit functions
- Option trading strategies: spreads, straddles, strangles, collars
- Synthetic positions and put-call parity

Part 4: Option Pricing – Binomial Model
- Introduction to discrete-time models
- One-period and multi-period binomial trees
- Risk-neutral valuation
- American options and early exercise

Part 5: Black-Scholes-Merton Model
- Assumptions and derivation of the BSM model
- The BSM formula and its applications
- Pricing European call and put options
- The Greeks: Delta, Gamma, Theta, Vega, Rho
- Volatility and implied volatility

Core Documentation

Hull J.C. (2018) Options, Futures, and Other Derivatives (10th Edition) (Pearson).

teacher profile | teaching materials

Mutuazione: 21210096-1 FINANCIAL AND ACTUARIAL SCIENCES in Finanza e impresa LM-16 R Ricci Jacopo Maria

Programme

Course Topics
Part 1: Introduction to Derivatives
- Definition and purpose of derivatives
- Types of derivatives: forwards, futures, options, and swaps (brief overview)
- Underlying assets and market participants
- Derivatives markets: OTC vs. exchange-traded

Part 2: Forwards and Futures
- Mechanics of forward contracts
- Pricing and valuation of forward contracts
- Futures contracts: market structure and clearinghouses
- Pricing of futures and the concept of arbitrage
- Hedging with futures

Part 3: Options and Option Strategies
- Types of options: calls and puts
- Payoff diagrams and profit functions
- Option trading strategies: spreads, straddles, strangles, collars
- Synthetic positions and put-call parity

Part 4: Option Pricing – Binomial Model
- Introduction to discrete-time models
- One-period and multi-period binomial trees
- Risk-neutral valuation
- American options and early exercise

Part 5: Black-Scholes-Merton Model
- Assumptions and derivation of the BSM model
- The BSM formula and its applications
- Pricing European call and put options
- The Greeks: Delta, Gamma, Theta, Vega, Rho
- Volatility and implied volatility

Core Documentation

Hull J.C. (2018) Options, Futures, and Other Derivatives (10th Edition) (Pearson).

teacher profile | teaching materials

Mutuazione: 21210096-1 FINANCIAL AND ACTUARIAL SCIENCES in Finanza e impresa LM-16 R Ricci Jacopo Maria

Programme

Course Topics
Part 1: Introduction to Derivatives
- Definition and purpose of derivatives
- Types of derivatives: forwards, futures, options, and swaps (brief overview)
- Underlying assets and market participants
- Derivatives markets: OTC vs. exchange-traded

Part 2: Forwards and Futures
- Mechanics of forward contracts
- Pricing and valuation of forward contracts
- Futures contracts: market structure and clearinghouses
- Pricing of futures and the concept of arbitrage
- Hedging with futures

Part 3: Options and Option Strategies
- Types of options: calls and puts
- Payoff diagrams and profit functions
- Option trading strategies: spreads, straddles, strangles, collars
- Synthetic positions and put-call parity

Part 4: Option Pricing – Binomial Model
- Introduction to discrete-time models
- One-period and multi-period binomial trees
- Risk-neutral valuation
- American options and early exercise

Part 5: Black-Scholes-Merton Model
- Assumptions and derivation of the BSM model
- The BSM formula and its applications
- Pricing European call and put options
- The Greeks: Delta, Gamma, Theta, Vega, Rho
- Volatility and implied volatility

Core Documentation

Hull J.C. (2018) Options, Futures, and Other Derivatives (10th Edition) (Pearson).

teacher profile | teaching materials

Mutuazione: 21210096-1 FINANCIAL AND ACTUARIAL SCIENCES in Finanza e impresa LM-16 R Ricci Jacopo Maria

Programme

Course Topics
Part 1: Introduction to Derivatives
- Definition and purpose of derivatives
- Types of derivatives: forwards, futures, options, and swaps (brief overview)
- Underlying assets and market participants
- Derivatives markets: OTC vs. exchange-traded

Part 2: Forwards and Futures
- Mechanics of forward contracts
- Pricing and valuation of forward contracts
- Futures contracts: market structure and clearinghouses
- Pricing of futures and the concept of arbitrage
- Hedging with futures

Part 3: Options and Option Strategies
- Types of options: calls and puts
- Payoff diagrams and profit functions
- Option trading strategies: spreads, straddles, strangles, collars
- Synthetic positions and put-call parity

Part 4: Option Pricing – Binomial Model
- Introduction to discrete-time models
- One-period and multi-period binomial trees
- Risk-neutral valuation
- American options and early exercise

Part 5: Black-Scholes-Merton Model
- Assumptions and derivation of the BSM model
- The BSM formula and its applications
- Pricing European call and put options
- The Greeks: Delta, Gamma, Theta, Vega, Rho
- Volatility and implied volatility

Core Documentation

Hull J.C. (2018) Options, Futures, and Other Derivatives (10th Edition) (Pearson).

teacher profile | teaching materials

Mutuazione: 21210096-1 FINANCIAL AND ACTUARIAL SCIENCES in Finanza e impresa LM-16 R Ricci Jacopo Maria

Programme

Course Topics
Part 1: Introduction to Derivatives
- Definition and purpose of derivatives
- Types of derivatives: forwards, futures, options, and swaps (brief overview)
- Underlying assets and market participants
- Derivatives markets: OTC vs. exchange-traded

Part 2: Forwards and Futures
- Mechanics of forward contracts
- Pricing and valuation of forward contracts
- Futures contracts: market structure and clearinghouses
- Pricing of futures and the concept of arbitrage
- Hedging with futures

Part 3: Options and Option Strategies
- Types of options: calls and puts
- Payoff diagrams and profit functions
- Option trading strategies: spreads, straddles, strangles, collars
- Synthetic positions and put-call parity

Part 4: Option Pricing – Binomial Model
- Introduction to discrete-time models
- One-period and multi-period binomial trees
- Risk-neutral valuation
- American options and early exercise

Part 5: Black-Scholes-Merton Model
- Assumptions and derivation of the BSM model
- The BSM formula and its applications
- Pricing European call and put options
- The Greeks: Delta, Gamma, Theta, Vega, Rho
- Volatility and implied volatility

Core Documentation

Hull J.C. (2018) Options, Futures, and Other Derivatives (10th Edition) (Pearson).

teacher profile | teaching materials

Mutuazione: 21210096-1 FINANCIAL AND ACTUARIAL SCIENCES in Finanza e impresa LM-16 R Ricci Jacopo Maria

Programme

Course Topics
Part 1: Introduction to Derivatives
- Definition and purpose of derivatives
- Types of derivatives: forwards, futures, options, and swaps (brief overview)
- Underlying assets and market participants
- Derivatives markets: OTC vs. exchange-traded

Part 2: Forwards and Futures
- Mechanics of forward contracts
- Pricing and valuation of forward contracts
- Futures contracts: market structure and clearinghouses
- Pricing of futures and the concept of arbitrage
- Hedging with futures

Part 3: Options and Option Strategies
- Types of options: calls and puts
- Payoff diagrams and profit functions
- Option trading strategies: spreads, straddles, strangles, collars
- Synthetic positions and put-call parity

Part 4: Option Pricing – Binomial Model
- Introduction to discrete-time models
- One-period and multi-period binomial trees
- Risk-neutral valuation
- American options and early exercise

Part 5: Black-Scholes-Merton Model
- Assumptions and derivation of the BSM model
- The BSM formula and its applications
- Pricing European call and put options
- The Greeks: Delta, Gamma, Theta, Vega, Rho
- Volatility and implied volatility

Core Documentation

Hull J.C. (2018) Options, Futures, and Other Derivatives (10th Edition) (Pearson).

teacher profile | teaching materials

Programme

Course Topics
Part 1: Introduction to Derivatives
- Definition and purpose of derivatives
- Types of derivatives: forwards, futures, options, and swaps (brief overview)
- Underlying assets and market participants
- Derivatives markets: OTC vs. exchange-traded

Part 2: Forwards and Futures
- Mechanics of forward contracts
- Pricing and valuation of forward contracts
- Futures contracts: market structure and clearinghouses
- Pricing of futures and the concept of arbitrage
- Hedging with futures

Part 3: Options and Option Strategies
- Types of options: calls and puts
- Payoff diagrams and profit functions
- Option trading strategies: spreads, straddles, strangles, collars
- Synthetic positions and put-call parity

Part 4: Option Pricing – Binomial Model
- Introduction to discrete-time models
- One-period and multi-period binomial trees
- Risk-neutral valuation
- American options and early exercise

Part 5: Black-Scholes-Merton Model
- Assumptions and derivation of the BSM model
- The BSM formula and its applications
- Pricing European call and put options
- The Greeks: Delta, Gamma, Theta, Vega, Rho
- Volatility and implied volatility

Core Documentation

Hull J.C. (2018) Options, Futures, and Other Derivatives (10th Edition) (Pearson).

teacher profile | teaching materials

Mutuazione: 21210096-1 FINANCIAL AND ACTUARIAL SCIENCES in Finanza e impresa LM-16 R Ricci Jacopo Maria

Programme

Course Topics
Part 1: Introduction to Derivatives
- Definition and purpose of derivatives
- Types of derivatives: forwards, futures, options, and swaps (brief overview)
- Underlying assets and market participants
- Derivatives markets: OTC vs. exchange-traded

Part 2: Forwards and Futures
- Mechanics of forward contracts
- Pricing and valuation of forward contracts
- Futures contracts: market structure and clearinghouses
- Pricing of futures and the concept of arbitrage
- Hedging with futures

Part 3: Options and Option Strategies
- Types of options: calls and puts
- Payoff diagrams and profit functions
- Option trading strategies: spreads, straddles, strangles, collars
- Synthetic positions and put-call parity

Part 4: Option Pricing – Binomial Model
- Introduction to discrete-time models
- One-period and multi-period binomial trees
- Risk-neutral valuation
- American options and early exercise

Part 5: Black-Scholes-Merton Model
- Assumptions and derivation of the BSM model
- The BSM formula and its applications
- Pricing European call and put options
- The Greeks: Delta, Gamma, Theta, Vega, Rho
- Volatility and implied volatility

Core Documentation

Hull J.C. (2018) Options, Futures, and Other Derivatives (10th Edition) (Pearson).

teacher profile | teaching materials

Mutuazione: 21210096-1 FINANCIAL AND ACTUARIAL SCIENCES in Finanza e impresa LM-16 R Ricci Jacopo Maria

Programme

Course Topics
Part 1: Introduction to Derivatives
- Definition and purpose of derivatives
- Types of derivatives: forwards, futures, options, and swaps (brief overview)
- Underlying assets and market participants
- Derivatives markets: OTC vs. exchange-traded

Part 2: Forwards and Futures
- Mechanics of forward contracts
- Pricing and valuation of forward contracts
- Futures contracts: market structure and clearinghouses
- Pricing of futures and the concept of arbitrage
- Hedging with futures

Part 3: Options and Option Strategies
- Types of options: calls and puts
- Payoff diagrams and profit functions
- Option trading strategies: spreads, straddles, strangles, collars
- Synthetic positions and put-call parity

Part 4: Option Pricing – Binomial Model
- Introduction to discrete-time models
- One-period and multi-period binomial trees
- Risk-neutral valuation
- American options and early exercise

Part 5: Black-Scholes-Merton Model
- Assumptions and derivation of the BSM model
- The BSM formula and its applications
- Pricing European call and put options
- The Greeks: Delta, Gamma, Theta, Vega, Rho
- Volatility and implied volatility

Core Documentation

Hull J.C. (2018) Options, Futures, and Other Derivatives (10th Edition) (Pearson).

teacher profile | teaching materials

Mutuazione: 21210096-1 FINANCIAL AND ACTUARIAL SCIENCES in Finanza e impresa LM-16 R Ricci Jacopo Maria

Programme

Course Topics
Part 1: Introduction to Derivatives
- Definition and purpose of derivatives
- Types of derivatives: forwards, futures, options, and swaps (brief overview)
- Underlying assets and market participants
- Derivatives markets: OTC vs. exchange-traded

Part 2: Forwards and Futures
- Mechanics of forward contracts
- Pricing and valuation of forward contracts
- Futures contracts: market structure and clearinghouses
- Pricing of futures and the concept of arbitrage
- Hedging with futures

Part 3: Options and Option Strategies
- Types of options: calls and puts
- Payoff diagrams and profit functions
- Option trading strategies: spreads, straddles, strangles, collars
- Synthetic positions and put-call parity

Part 4: Option Pricing – Binomial Model
- Introduction to discrete-time models
- One-period and multi-period binomial trees
- Risk-neutral valuation
- American options and early exercise

Part 5: Black-Scholes-Merton Model
- Assumptions and derivation of the BSM model
- The BSM formula and its applications
- Pricing European call and put options
- The Greeks: Delta, Gamma, Theta, Vega, Rho
- Volatility and implied volatility

Core Documentation

Hull J.C. (2018) Options, Futures, and Other Derivatives (10th Edition) (Pearson).