Learning objectives
<p>In the course the main features of a financial market are illustrated, with particular reference to derivatives (forward, futures, swap contracts and options). A short look to stochastic differential equations and their financial meaning allows to introduce the famous model of Black and Scholes. <br />
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Prerequisites
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Course unit content
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Market and derivatives: stocks, commodities, forward, futures and swap contracts and options, exotic options. <br />
Call e put options, warrant. Put-call parity. Strategies. The binomial model. Arbitrage. <br />
Markov Processes. Wiener processes. Random walks for prices. Ito’s lemma. <br />
The drift. Volatility. The Black and Scholes model. <br />
The greeks. <br />
Full programme
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Bibliography
John C. Hull, Opzioni, futures e altri derivati, Milano, Pearson - Prentice Hall, 2006. <br />
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Teaching methods
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Assessment methods and criteria
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Other information
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