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Course 2011-2012 a.y.

30150 - INTRODUCTION TO OPTIONS AND FUTURES


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

Course taught in English


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. - OP  |  3 credits SECS-P/06  |  3 credits SECS-P/11)
Course Director:
GIOVANNA ZANOTTI

Classes: 31 (I sem.) - 32 (I sem.)
Instructors:
Class 31: GIOVANNA ZANOTTI, Class 32: GIOVANNA ZANOTTI


Course Objectives
The course is an introduction to the concepts pricing and understanding derivative securities. The aim is to demonstrate how derivatives are used in practice and to provide an introduction to the concepts and models that are commonly used in derivatives pricing and hedging.

Course Content Summary
  • Forwards:
    • Basic properties of forwards contracts
    • Forward Prices and Forward valuation
    • Hedging with forwards
  • Futures:
    • Basic properties of futures contracts
    • 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
    • The Binomial model of Cox, Ross and Rubinstein
    • The Model of Black and Scholes
    • Historical and Implied Volatility
    • 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 a 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 14/06/2011 15:11