This second contribution exploits the financial modeling, which is largely developed in the first module, in order to evaluate the fair price of financial derivatives. Moreover, the construction of hedging strategies is studied. Finally, some operational strategies with derivatives are discussed.
Learning outcomes:
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.
75% of the course is taught via recorded lectures, while the remaining 25% is taight in presence. Also, there will be 12 hours of e-tivities, with laboratories on practical applications of the main contents.
Gli studenti in possesso di certificazione di disabilità, DSA o bisogni educativi speciali devono contattare, all'inizio delle lezioni, sia il docente, sia il referente per la disabilità del Dipartimento, Prof.ssa Elena Lagomarsino elena.lagomarsino@unige.it , per concordare modalità didattiche e d'esame che, nel rispetto degli obiettivi dell'insegnamento, tengano conto delle modalità di apprendimento individuali e consentano l'uso di eventuali strumenti compensativi
- review of stochastic calculus, including Brownian motion and Itô formula; - Black-Sholes-Merton model and application to option pricing; - Greeks; - hedging strategies.
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.
Ricevimento: Wednesday, 16:00-18:00, by requesting the appointment via e-mail.
September 2025
The exam will be written and will contain questions on the theoretical and modeling features treated in the course as well as exercises.
There will be the Open Badge exam to asses the contents of each module.
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.
