|Tuesday||11:50 AM - 1:30 PM||lesson||Lecture Hall Offeddu|
|Thursday||3:40 PM - 6:10 PM||lesson||Lecture Hall Offeddu|
The course focuses on applied mathematical models for derivative pricing.
Practical computer sessions are planned.
1. Forward and Futures
Valuation models for the pricing of forward and futures contracts on stocks, stock indices, currencies, interest rates and bonds. Cheapest-to-deliver calculation.
Black-Scholes-Merton valuation models and extensions for the pricing of options on stock indices, currencies and futures. The "Greeks": delta, gamma, theta, vega, rho. Risk management of option portfolios: delta hedging, delta-gamma-vega hedging.
Valuation models for interest rate swap and currency swap contracts.
4. Interest rate options
Standard valuation models for caps, floors, collars, swaptions.
5. Credit derivatives
Standard valuation models for credit default swaps.
6. Stochastic term structure models
Equilibrium models: Vasicek and Cox-Ingersoll-Ross. Pure non-arbitrage models: Ho-Lee and Hull-White. Trinomial trees for the pricing of zero coupon bond options, caps and floors.
7. Real options
Trinomial tree valuation of investment projects.
J. HULL, Options, futures, and other derivatives, (VIII edition). Prentice Hall, 2012.
(chapters 1-18, 24, 28, 30, 34).
via Cantarane, 24
VAT number 01541040232
Italian Fiscal Code 93009870234
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