Academic Year 2022-2023

QUANTITATIVE FINANCE

Teachers

Antonino Zanette
Unit Credits
6
Teaching Period
First Period
Course Type
Supplementary
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