Studying at the University of Verona
Here you can find information on the organisational aspects of the Programme, lecture timetables, learning activities and useful contact details for your time at the University, from enrolment to graduation.
Academic calendar
The academic calendar shows the deadlines and scheduled events that are relevant to students, teaching and technical-administrative staff of the University. Public holidays and University closures are also indicated. The academic year normally begins on 1 October each year and ends on 30 September of the following year.
Course calendar
The Academic Calendar sets out the degree programme lecture and exam timetables, as well as the relevant university closure dates..
Period | From | To |
---|---|---|
primo semestre magistrali | Sep 30, 2019 | Dec 20, 2019 |
secondo semestre magistrali | Feb 24, 2020 | May 29, 2020 |
Session | From | To |
---|---|---|
Sessione invernale magistrali | Jan 7, 2020 | Feb 21, 2020 |
Sessione estiva magistrali | Jun 3, 2020 | Jul 10, 2020 |
Autumn Session exams | Aug 24, 2020 | Sep 11, 2020 |
Session | From | To |
---|---|---|
Autumn Session | Dec 2, 2019 | Dec 4, 2019 |
Winter Session | Apr 7, 2020 | Apr 9, 2020 |
Summer session | Sep 7, 2020 | Sep 9, 2020 |
Exam calendar
Exam dates and rounds are managed by the relevant Economics Teaching and Student Services Unit.
To view all the exam sessions available, please use the Exam dashboard on ESSE3.
If you forgot your login details or have problems logging in, please contact the relevant IT HelpDesk, or check the login details recovery web page.
Should you have any doubts or questions, please check the Enrollment FAQs
Academic staff
![Virginia Vannucci, October 25, 2020](https://docs.univr.it/documenti//Persona/foto/foto612139.jpg)
Vannucci Virginia
Study Plan
The Study Plan includes all modules, teaching and learning activities that each student will need to undertake during their time at the University.
Please select your Study Plan based on your enrollment year.
1° Year
Modules | Credits | TAF | SSD |
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2° Year activated in the A.Y. 2020/2021
Modules | Credits | TAF | SSD |
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Modules | Credits | TAF | SSD |
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Modules | Credits | TAF | SSD |
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Modules | Credits | TAF | SSD |
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Legend | Type of training activity (TTA)
TAF (Type of Educational Activity) All courses and activities are classified into different types of educational activities, indicated by a letter.
Derivatives (2020/2021)
Teaching code
4S02483
Teacher
Coordinator
Credits
9
Language
Italian
Scientific Disciplinary Sector (SSD)
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Period
primo semestre (lauree magistrali) dal Oct 5, 2020 al Dec 23, 2020.
Learning outcomes
The course is prepared for students who followed the courses “Stochastic Models for Finance” and “Mathematical Finance”. The Black-Scholes model is considered a prerequisite. The objective of the course is to describe and analyze the main mathematical models used for the valuation of financial derivatives. The course is divided into four pillars, which correspond to the four main financial markets: interest rate derivatives, credit derivatives, equity derivatives and FX derivatives. The course will also introduce practical tools for the implementation of the mathematical models with standard scientific software, and the calibration of these models to market data.
Program
1. Interest rate derivatives a. Absence of arbitrage and risk-neutral probabilities b. FRA, swaps c. Black's model: caps, floors, swaptions d. Short term models: Vasicek, CIR e. Forward measure f. The “double curve” model 2. Credit derivatives a. Exponential distribution b. Poisson processes c. Reduced form models for credit risk d. Risky bonds evaluation e. Credit default swaps f. Credit Valuation Adjustment 3. Equity derivatives a. The limitations of the Black & Scholes model b. Greeks c. Stochastic volatility in discrete time d. Stochastic volatility in continuous time: Hull and White, Heston, SABR e. Model free implied volatility: the VIX index f. Multi-factor and jump-diffusion models 4. Derivati su valute a. The Garman-Kolhagen formula b. Currency swaps c. Quotation methods d. Exotics e. The Vanna-Volga model Textbook: Hull, Options Futures and Other Derivatives, Pearson Ed. Lecture notes are provided. Additional reading: Brigo e Mercurio, Interest Rate Models-theory and Practice: With Smile, Inflation and Credit, Springer Ed. Brigo, Morini, Pallavicini, Counterparty Credit Risk, Collateral and Funding, Wiley Ed. Castagna, FX Options and Smile Risk, Wiley Ed.
Author | Title | Publishing house | Year | ISBN | Notes |
---|---|---|---|---|---|
HULL J. | Opzioni, futures e altri derivati (Edizione 8) | Pearson Education Italia, Prentice Hall, Milano | 2012 | 9788871927794 |
Examination Methods
** Winter exams, 2020/21
Summer exams will be Oral (70%) + Project Work (30%). The student needs a functioning camera.
** General
Written exam (70%) + Project Work (30%).
The Project Work, to be decided with the Teacher, is a small paper, with length less than 10 pages, dealing with one of the following jobs:
1) application of a model to market data
2) a simulation or numerical approximation of proposed models
3) the valuation of a contract involving derivatives
4) a valuable discussion of some part of the theory
5) the discussion of a recent scientific article
The Project Work needs to be completed to gain access to the written exam. It can be re-submitted. The final valuation will use the latest Project Work submitted.
Type D and Type F activities
years | Modules | TAF | Teacher | |
---|---|---|---|---|
2° | Simulation and Implementation of Economic Policies | D |
Federico Perali
(Coordinator)
|
|
1° 2° | Enactus Verona 2020 | D |
Paola Signori
(Coordinator)
|
|
1° 2° | Parlare in pubblico e economic writing | D |
Martina Menon
(Coordinator)
|
|
1° 2° | Samsung Innovation Camp | D |
Marco Minozzo
(Coordinator)
|
years | Modules | TAF | Teacher | |
---|---|---|---|---|
2° | Simulation and Implementation of Economic Policies | D |
Federico Perali
(Coordinator)
|
|
1° 2° | Predictive analytics for business decisions - 2019/20 | D |
Claudio Zoli
(Coordinator)
|
|
1° 2° | Professional communication for economics - 2019/20 | D |
Claudio Zoli
(Coordinator)
|
|
1° 2° | Parlare in pubblico e economic writing | D |
Martina Menon
(Coordinator)
|
|
1° 2° | Regulation, procurement and competition - 2019/20 | D |
Claudio Zoli
(Coordinator)
|
Career prospects
Module/Programme news
News for students
There you will find information, resources and services useful during your time at the University (Student’s exam record, your study plan on ESSE3, Distance Learning courses, university email account, office forms, administrative procedures, etc.). You can log into MyUnivr with your GIA login details: only in this way will you be able to receive notification of all the notices from your teachers and your secretariat via email and soon also via the Univr app.
Graduation
List of thesis proposals
theses proposals | Research area |
---|---|
Tesi di laurea magistrale - Tecniche e problemi aperti nel credit scoring | Statistics - Foundational and philosophical topics |
Fattori ESG e valutazione d'azienda | Various topics |
Il metodo Monte Carlo per la valutazione di opzioni americane | Various topics |
Il Minimum Requirement for own funds and Eligible Liabilities (MREL) | Various topics |
L'acquisto di azioni proprie | Various topics |
Proposte Tesi A. Gnoatto | Various topics |