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Course 2015-2016 a.y.

30184 - RISK MANAGEMENT WITH DERIVATIVES


CLEAM - CLEF - CLEACC - BESS-CLES - BIEMF
Department of Finance

Course taught in English


Go to class group/s: 31

CLEAM (6 credits - II sem. - OP  |  SECS-P/11) - CLEF (6 credits - II sem. - OP  |  SECS-P/11) - CLEACC (6 credits - II sem. - OP  |  SECS-P/11) - BESS-CLES (6 credits - II sem. - OP  |  SECS-P/11) - BIEMF (6 credits - II sem. - OP  |  SECS-P/11)
Course Director:
GIOVANNA ZANOTTI

Classes: 31 (II sem.)
Instructors:
Class 31: GIOVANNA ZANOTTI


Course Objectives

The course aims at providing an understanding of the markets for derivatives instruments (forwards, futures, options and swaps) and of their uses for hedging and trading by corporations and financial institutions. The course also explains how to price and calculate the market value of most plain vanilla derivatives.


Course Content Summary
  • Forwards:
    • Contract specification.
    • Forward Prices and Forward valuation.
    • Hedging with forwards.
  • Futures:
    • Contract specification.
    • Hedging and Trading with futures.
  • Swaps:
    • Interest rate swaps: uses, pricing and valuation.
    • Currency swaps: uses, pricing and valuation.
    • Credit default swaps: uses, pricing and valuation.
  • Options: 
    • Option markets and contract specifications.
    • Options premium calculation.
    • Hedging and Trading with options.
    • The management of market risk and the Greek letters.

Detailed Description of Assessment Methods

The course grade is based on a written test.

The written exam comprises both exercises and theoretical questions. The written exam is a closed book exam and only the use of a common unsophisticated calculator is allowed.

Students have the opportunity of taking the written test in two parts: a partial and a final examination. Otherwise students have to take the written final exam. In all, the examination dates until July the exam is a written text. Starting from September the exam could be in oral form based on the number of students signed for the exam.


Textbooks
  • J. HULL, Options, futures and other Derivatives, Prentice Hall, Eighth edition.
  • Any additional material is posted on the elearning application for the course.
Last change 11/06/2015 11:56