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

2° Year   activated in the A.Y. 2013/2014

ModulesCreditsTAFSSD
9
C
SECS-S/06
9
B
IUS/04
9
C
SECS-S/06
6
B
SECS-S/06
6
B
SECS-P/11
6
F
-
15
E
-
activated in the A.Y. 2013/2014
ModulesCreditsTAFSSD
9
C
SECS-S/06
9
B
IUS/04
9
C
SECS-S/06
6
B
SECS-S/06
6
B
SECS-P/11
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  (2013/2014)

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 23, 2013 al Jan 10, 2014.

Location

VERONA

Seminars 0

Learning outcomes

The course focuses on applied mathematical models for derivative pricing.
Practical computer sessions are planned.

Program

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.
2. Options
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.
3. Swaps
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.

Reference
J. HULL, Options, futures, and other derivatives, (VIII edition). Prentice Hall, 2012.
(chapters 1-18, 24, 28, 30, 34).

Examination Methods

Written exam.

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