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.
1° Year
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2° Year activated in the A.Y. 2012/2013
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 (2012/2013)
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 dal Sep 24, 2012 al Dec 21, 2012.
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.
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.