Prerequisites. Knowledge of probability and financial mathematics.
Teaching Methods. The slides of the lectures cover large parts of the teaching program.
Verification of Learning. The exam consists of a written and eventually an oral test.
Objectives
The course aims to provide advanced knowledge of quantitative finance methods. At the end of the course the student must be able to understand the main discrete and continuous models for the evaluation of financial options. The student will know the real options for project valuation and portfolio theory.
Contents
Financial options and discrete models. Arbitrage and completeness of the financial markets. Financial options and continuous models. The model and the formula of Black-Scholes. Dynamic hedging Delta. Portfolio insurance. Interest rate models. Derivatives on interest rates. Numerical resolution for the evaluation of financial options through the construction of tree and Monte Carlo algorithms. Real options. Portfolio theory.
Texts
Slides of the lectures.
Options, Futures, and Other Derivatives. J.Hull E.Barone
Questo sito o gli strumenti terzi da questo utilizzati si avvalgono di cookie necessari al funzionamento ed utili alle finalità illustrate nella cookie policy. Se vuoi saperne di più o negare il consenso a tutti o ad alcuni cookie, consulta la Privacy Policy.
Chiudendo questo banner, scorrendo questa pagina, cliccando su un link o proseguendo la navigazione in altra maniera, acconsenti all’uso dei cookie. OK
Privacy & Cookies Policy
Privacy Overview
This website uses cookies to improve your experience while you navigate through the website. Out of these, the cookies that are categorized as necessary are stored on your browser as they are essential for the working of basic functionalities of the website. We also use third-party cookies that help us analyze and understand how you use this website. These cookies will be stored in your browser only with your consent. You also have the option to opt-out of these cookies. But opting out of some of these cookies may affect your browsing experience.
Necessary cookies are absolutely essential for the website to function properly. This category only includes cookies that ensures basic functionalities and security features of the website. These cookies do not store any personal information.
Any cookies that may not be particularly necessary for the website to function and is used specifically to collect user personal data via analytics, ads, other embedded contents are termed as non-necessary cookies. It is mandatory to procure user consent prior to running these cookies on your website.
