The course is aimed at students who want to deepen their knowledge and acquire tools in the field of risk analysis and management in the financial markets (including the government bond market), as well as in the energy and insurance markets, also in light of the last financial crises.
teacher profile teaching materials
Financial risk
Market completeness and incompleteness
The concept of arbitrage
The problem of derivative pricing
Pricing models: the binomial model, the trinomial model, the Black–Scholes–Merton model, and alternative pricing models
The Greeks
Hedging techniques
Volatility smiles
Value at Risk
Risk in energy markets
Derivative instruments in energy markets
Exotic options
Investment project evaluation and real options
Materials provided by the lecturer
Programme
futures and options marketsFinancial risk
Market completeness and incompleteness
The concept of arbitrage
The problem of derivative pricing
Pricing models: the binomial model, the trinomial model, the Black–Scholes–Merton model, and alternative pricing models
The Greeks
Hedging techniques
Volatility smiles
Value at Risk
Risk in energy markets
Derivative instruments in energy markets
Exotic options
Investment project evaluation and real options
Core Documentation
John C. Hull, Opzioni, futures e altri derivati, Ed. PearsonMaterials provided by the lecturer
Attendance
strongly recommended