| Unit | Credits | Academic sector | Period | Academic staff |
|---|---|---|---|---|
| Seconda parte | 4 | SECS-S/06-MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES | 2° Q |
Alessandro Sbuelz
|
| Prima parte | 4 | SECS-S/06-MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES | 2° Q |
Alessandro Sbuelz
|
Module: 1st part and 2nd part
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This course deals with the valuation and hedging of financial contracts. The task necessitates the use of sharp economic reasoning and of challenging tools taken from the fields of mathematics, probability theory, and statistics. Professionally, individuals with valuation-&-hedging skills are in great demand in any financial center worldwide.
Module: 1st part
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The topics covered include:
• Determination of Forward Prices
• Properties of Option Prices
• Binomial Trees
Theory (lectures) will be constantly exemplified by means of exercises (classroom applications).
Texts:
- Lecture notes.
- John Hull, "Options, Futures, and Other Derivatives", Sixth Edition (ISBN: 0-13-149908-4).
- Steven Shreve, "Stochastic Calculus for Finance I: Continuous-Time Models" (ISBN: 0-387-40101-6). Optional.
Module: 2nd Part
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The topics covered include:
• Wiener Processes and Ito’s Lemma
• The Black-Scholes-Merton Model
Theory (lectures) will be constantly exemplified by means of exercises (classroom applications).
Texts:
- Lecture notes.
- John Hull, "Options, Futures, and Other Derivatives", Sixth Edition (ISBN: 0-13-149908-4).
- Steven Shreve, "Stochastic Calculus for Finance I: Continuous-Time Models" (ISBN: 0-387-40101-6). Optional.
Module: 1st part
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The final grade will be formed on the basis of performance in the terminal written exam.
Module: 2nd part
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The final grade will be formed on the basis of performance in the terminal written exam.
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