OBIETTIVI E CONTENUTI

OBIETTIVI FORMATIVI

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.

OBIETTIVI FORMATIVI (DETTAGLIO) E RISULTATI DI APPRENDIMENTO

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.

MODALITA' DIDATTICHE

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.

PROGRAMMA/CONTENUTO

- review of stochastic calculus, including 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 2025

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.

MODALITA' DI ACCERTAMENTO

There will be the Open Badge exam to asses the contents of each module.

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.