Insegnamento a.a. 2012-2013

Go to class group/s: 31 - 32

CLEAM (6 credits - I sem. - OP  |  3 credits SECS-P/06  |  3 credits SECS-P/11) - CLEF (6 credits - I sem. - OP  |  3 credits SECS-P/06  |  3 credits SECS-P/11) - BESS-CLES (6 credits - I sem. - OP  |  3 credits SECS-P/06  |  3 credits SECS-P/11) - BIEMF (6 credits - I sem. - OBCUR  |  3 credits SECS-P/06  |  3 credits SECS-P/11)

Course Director:
JOACHIM MARIA JOHANNA PEIJNENBURG

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 focuses on pricing methodologies and market value calculations.

Course Content Summary

Forwards and Futures contracts
Contract specifications and uses. Forward prices, Forward exchange rates, Forward interest rates. The valuation of forwards contract. The basis risk. The optimal hedge ratio.

Forward rate agreements
Contract specifications, uses, pricing and contract valuation.

Swaps
Interest rate swap and Currency swap: Contract specifications, uses, Pricing and contract valuation. Uses and Abuses of Credit default Swaps. Pricing methodologies for Credit Default Swaps.

Options
Main options contracts and their characteristics. The factors influencing option prices. Valuation of options through the binomial model, Black and Scholes and Monte Carlo Simulation. Options Greek’s and their role in option trading strategies. Hedging with options. Trading strategies with options. Volatility skew and volatility smile.

Detailed Description of Assessment Methods

There is a written final exam covering all classes. The exam is based on exercises resolution. To participate in the final exam all students must be enrolled and registered for the exam. No exceptions are considered.

Textbooks

 J. Hull, Options, futures and other Derivatives, Prentice Hall, 7th edition.

Exam textbooks & Online Articles (check availability at the Library)

Prerequisites

We assume students have a basic knowledge of the functioning of derivatives (e.g. the difference between Exchange traded and over the counter derivatives) and of the characteristics and valuation of the underlying assets (stocks and bonds)

Last change 04/06/2012 14:29