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.

This information is intended exclusively for students already enrolled in this course.
If you are a new student interested in enrolling, you can find information about the course of study on the course page:

Laurea magistrale in Banca e finanza - Enrollment from 2025/2026

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.

CURRICULUM TIPO:

2° Year   activated in the A.Y. 2021/2022

ModulesCreditsTAFSSD
Training
6
F
-
Final exam
15
E
-
activated in the A.Y. 2021/2022
ModulesCreditsTAFSSD
Training
6
F
-
Final exam
15
E
-
Modules Credits TAF SSD
Between the years: 1°- 2°

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.




S Placements in companies, public or private institutions and professional associations

Teaching code

4S02483

Coordinator

Roberto Reno'

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 4, 2021 al Dec 17, 2021.

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. The Black and Scholes model
a. Absence of arbitrage and risk-neutral probabilities
b. Lognormal model
c. Option valuation
d. Hedging

2. Interest rate derivatives
a. FRA, swaps
b. Black's model: caps, floors, swaptions
c. Short term models: Vasicek, CIR
d. Currency options

3. Credit derivatives
a. Exponential distribution and stopping times
b. Reduced form models for credit risk
c. Risky bonds evaluation
d. Credit default swaps
f. Credit Valuation Adjustment

4. Stochastic volatility models
a. The limitations of the Black and Scholes model
b. Stochastic volatility in continuous time: Hull and White, Heston, SABR
c. Model free implied volatility: the VIX index

Bibliography

Visualizza la bibliografia con Leganto, strumento che il Sistema Bibliotecario mette a disposizione per recuperare i testi in programma d'esame in modo semplice e innovativo.

Examination Methods

** 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.

** In case of sanitary emergency

In case the exam cannot be given because of sanitary emergency linked to the Covid-19 pandemic, the exam can be given in different forms, including online.

Students with disabilities or specific learning disorders (SLD), who intend to request the adaptation of the exam, must follow the instructions given HERE