PRESENTAZIONE

This teaching aims to provide quantitative and interpretative tools for the main financial derivatives and their application.

OBIETTIVI E CONTENUTI

OBIETTIVI FORMATIVI

This module aims to introduce the fundamentals of financial markets and the basics of financial assets, such as government bonds, stocks, and derivatives. After recalling some basic results of stochastic calculus, the mathematical modeling of financial markets is analyzed, using discrete and continuous-time frameworks.

OBIETTIVI FORMATIVI (DETTAGLIO) E RISULTATI DI APPRENDIMENTO

OBIETTIVI FORMATIVI: This course is an introduction to derivatives. Definition and structure of different kinds of derivatives are treated, including futures, forward, and options contracts. Valuation principles and mathematical models are analyzed and applied, including the Binomial and the Black-Scholes-Merton model. Finally, efficient use of derivatives instruments will be considered for purposes such as risk control, arbitrage and speculation.

At the end of the course, the student will be able to deal, autonomously and properly, with the learned topics and apply them.

PREREQUISITI

Students are expected to know basic elements of financial mathematics, as they are taught in a course of Financial Mathematics at the laurea/bachelor degree.

Students are expected to know basic elements of calculus, as they are taught in a course of Mathematics at the laurea/bachelor degree (derivatives and integrals; linear algebra), and to be familiar with several variable functions (partial derivatives).

Students are expeted to know basic elements of probability, as they are thaught in a course at the laurea/bachelor degree (discrete and absolutely continuous random variables, expected value, variance).

MODALITA' DIDATTICHE

Frontal lectures.

PROGRAMMA/CONTENUTO

- portfolios and no-arbitrage principle;
- definition and main features of financial derivatives;
- forward contracts and futures contracts: structure and valuation;
- option contracts: structure, pricing bounds, put-call parity
- binomial model and application to option pricing;
- Brownian motion and Itô formula
- Black-Sholes-Merton model and application to option pricing;
- Greeks
- hedging strategies

TESTI/BIBLIOGRAFIA

Main reference:
 J. C. Hull, Options, futures, and other derivatives, 11th edition, Pearson, 2022.

Further readings:
P. Wilmott, P. Howison and J. Dewynne, The Mathematics of Financial Derivatives: a Student Introduction, Cambridge University Press, 1995.
T. Bjork, Arbitrage theory in continuous time, 4th edition, Oxford University Press, 2019.

DOCENTI E COMMISSIONI

LEZIONI

INIZIO LEZIONI

September 2023

Orari delle lezioni

L'orario di questo insegnamento è consultabile all'indirizzo: Portale EasyAcademy

ESAMI

MODALITA' D'ESAME

The exam will be written and will contain questions on the theoretical and modeling features treated in the course as well as exercises.

ALTRE INFORMAZIONI

Other information will be provided during the course. For non-attending students the same rules apply.

Students with DSA certification ("specific learning disabilities"), disability or other special educational needs are advised to contact the teacher at the beginning of the course to agree on teaching and examination methods that, in compliance with the teaching objectives, take account of individual learning arrangements and provide appropriate compensatory tools.