DERIVATIVES

DERIVATIVES

_
iten
Codice
95299
ANNO ACCADEMICO
2017/2018
CFU
6 cfu al ° anno di 8700 ECONOMIA E ISTITUZIONI FINANZIARIE (LM-56) GENOVA
SETTORE SCIENTIFICO DISCIPLINARE
SECS-P/11
LINGUA
Inglese
SEDE
GENOVA (ECONOMIA E ISTITUZIONI FINANZIARIE )
periodo
2° Semestre
materiale didattico

PRESENTAZIONE

Derivatives

Language: english

OBIETTIVI E CONTENUTI

OBIETTIVI FORMATIVI

Il corso si propone di:

  1. illustrare le caratteristiche dei derivati (opzioni, futures e swap)
  2. introdurre i concetti fondamentali di strategia di copertura con derivati
  3. fornire strumenti di valutazione delle opzioni e delle strategie di copertura con derivati nell’ottica del risk management

 

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

Modalità didattiche

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.

PROGRAMMA/CONTENUTO

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

 

TESTI/BIBLIOGRAFIA

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

DOCENTI E COMMISSIONI

Commissione d'esame

ALESSANDRA TANDA (Presidente)

LAURA NIERI

MARCO DI ANTONIO

LEZIONI

Modalità didattiche

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.

ORARI

L'orario di tutti gli insegnamenti è consultabile su EasyAcademy.

Vedi anche:

DERIVATIVES

ESAMI

Modalità d'esame

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.

Modalità di accertamento

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.