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Course 2017-2018 a.y.

30184 - RISK MANAGEMENT WITH DERIVATIVES


CLEAM - CLEF - CLEACC - CLES-BESS - WBB - BIEF - BIEM - BIG
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) - CLES-BESS (6 credits - II sem. - OP  |  SECS-P/11) - WBB (6 credits - II sem. - OP  |  SECS-P/11) - BIEF (6 credits - II sem. - OP  |  SECS-P/11) - BIEM (6 credits - II sem. - OP  |  SECS-P/11) - BIG (6 credits - II sem. - OP  |  SECS-P/11)
Course Director:
ANTONIO COSENTINI

Classes: 31 (II sem.)
Instructors:
Class 31: ANTONIO COSENTINI


Course Objectives
The course aims to provide basic knowledge of the most common derivative instruments (forward, future, swap and option) and relevant markets characteristics, key pricing techniques along with some of the main hedging and trading strategies implemented by corporations and financial institutions.

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.


Textbooks
  • J. HULL, Options, futures and other Derivatives, Prentice Hall, 8th edition.
  • Any additional material is posted on the e-learning application for the course.
Last change 21/06/2017 14:24