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.

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.

CURRICULUM TIPO:

1° Year 

ModulesCreditsTAFSSD
9
B
IUS/04
9
B
SECS-P/05
9
B
SECS-P/11
6
B
SECS-P/01
9
B
SECS-S/06
9
B
SECS-S/01
9
D
-

2° Year   activated in the A.Y. 2012/2013

ModulesCreditsTAFSSD
9
C
SECS-S/06
9
B
SECS-S/06
6
B
SECS-P/09
9
B
SECS-S/06
6
C
SECS-S/06
6
F
-
15
E
-
activated in the A.Y. 2012/2013
ModulesCreditsTAFSSD
9
C
SECS-S/06
9
B
SECS-S/06
6
B
SECS-P/09
9
B
SECS-S/06
6
C
SECS-S/06
6
F
-
15
E
-

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.

A Basic activities
B Characterizing activities
C Related or complementary activities
D Activities to be chosen by the student
E Final examination
F Other training activities
S Placements in companies, public or private institutions and professional associations

Derivatives  (2012/2013)

Teaching code

4S02483

Teacher

Marina Di Giacinto

Coordinator

Marina Di Giacinto

Credits

9

Language

Italian

Scientific Disciplinary Sector (SSD)

SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES

Period

primo semestre dal Sep 24, 2012 al Dec 21, 2012.

Seminars 0

Learning outcomes

The course is aimed at gaining basic derivative valuation methodologies and mathematical models which are in use in the financial industry. Each model is practically implemented and its use is exemplified during computer room sessions.

Program

Forwards and Futures.
Valuation of Forward and Future contracts written on
single name stocks, stock indices, currencies and commodities.

Options.
Basic properties of options on stocks. Option strategies. Binomial tree valuation models. Black-Scholes-Merton valuation approach for options on single name stocks, stock indices, currencies and \textit{futures}. Risk management for options portfolios: delta hedging, theta, gamma, vega, rho. Exotic options.

Swaps.
Valuation models for interest rates and currency swaps.

Futures and Options on interest rates.
Interest rate futures. Cheapest to deliver. Options on
fixed income securities, caps, floors, collars e swaptions.

Credit derivatives.
Credit risk management using credit derivatives. Credit default swap valuation models.

Reference texts
Author Title Publishing house Year ISBN Notes
HULL J. Opzioni, futures e altri derivati (Edizione 8) Pearson Education Italia, Prentice Hall, Milano 2012 9788871927794 Capitoli 1-7, 9-14, 16-18, 24-25, 28

Examination Methods

The final exam consists of a computer room test exercise.

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