OVERVIEW

Derivatives

Language: english

AIMS AND CONTENT

LEARNING OUTCOMES

The module aims to:

1. describe the characteristics of derivatives (options, futures and swaps)
2. introduce the fundamental concepts of hedging strategies with derivatives 
3. provide tools to evaluate options and hedging strategies with derivatives for risk management applications

TEACHING METHODS

Teaching will be made of standard lectures and tutorials. Exercises will be assigned each week to students.

John C. Hull: Options, Futures, and other Derivatives. Prentice Hall eighth edition.

SYLLABUS/CONTENT

Module content:

1. Options, futures and other derivatives: description and valuation
   1. Options
   2. Futures and forwards
   3. Interest rate Forwards and Swaps
2. Binomial asset pricing model
3. The Black-Scholes-Merton model
4. Exotic options
5. Hedging strategies with derivatives:
   • Static replication
   • Dynamic replication

RECOMMENDED READING/BIBLIOGRAPHY

John C. Hull: Options, Futures, and other Derivatives. Prentice Hall eighth edition.

TEACHERS AND EXAM BOARD

Exam Board

ALESSANDRA TANDA (President)

MARCO DI ANTONIO

LAURA NIERI

LESSONS

Class schedule

DERIVATIVES

EXAMS

EXAM DESCRIPTION

Written test and coursework.

Students are expected to gain knowledge and understand the key issues on derivatives, their pricing and the valuation of the suitability of given financial instruments for specific investors or companies.

The assessment is composed of examination and coursework. The final exam takes place on the dates decided by the Faculty. Coursework is assigned during lectures to evaluate progress of knowledge and contributes to extra points for the exam. Details will be posted on aulaweb and provided on the first day of lecture.

ASSESSMENT METHODS

Students are expected to gain knowledge and understand the key issues on derivatives, their pricing and the valuation of the suitability of given financial instruments for specific investors or companies.

The assessment is composed of examination and coursework. The final exam takes place on the dates decided by the Faculty. Coursework is assigned during lectures to evaluate progress of knowledge and contributes to extra points for the exam. Details will be posted on aulaweb and provided on the first day of lecture.

Exam schedule