Insegnamento a.a. 2013-2014

Go to class group/s: 31 - 32

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

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 will also focus on pricing methodologies and market value calculations.
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).

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.
Swaps:
Contract specifications, uses, Pricing and contract valuation.
Options :
Main options contracts and their characteristics. The factors influencing option prices. Valuation of options through the binomial model and Black and Scholes. Stochastic processes. Options Greek’s and their role in option trading strategies. Hedging with options. Trading strategies with options. Volatility smile.
Interest rate derivatives:
Bond options, caps, floors.

Detailed Description of Assessment Methods

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

Textbooks

The textbook is

• J. Hull, Options, futures and other Derivatives, Prentice Hall, Eight edition.

The solutions manual for this book:

• J. Hull, Options, futures and other Derivatives - Solutions Manual, Prentice Hall, Eight 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 06/06/2013 15:43