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.
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
Università degli Studi di Udine Dipartimento di Scienze Matematiche, Informatiche e Fisiche (DMIF) via delle Scienze 206, 33100 Udine, Italy Tel: +39 0432 558400 Fax: +39 0432 558499 PEC: firstname.lastname@example.org p.iva 01071600306 | c.f. 80014550307
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