Academic Year 2023-2024



Antonino Zanette
Unit Credits
Teaching Period
First Period
Course Type
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.

In grading the mark for the final exam, the teacher complies with the indications approved by the Degree Program Board and available on the degree course website at the following link

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.
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.
Slides of the lectures.

Options, Futures, and Other Derivatives. J.Hull E.Barone