30426 - Options, Futures and other Derivatives

Academic Year 2018/2019

  • Moduli: Giuseppe Lusignani (Modulo 1) Riccardo Tedeschi (Modulo 2)
  • Teaching Mode: Traditional lectures (Modulo 1) Traditional lectures (Modulo 2)
  • Campus: Bologna
  • Corso: Second cycle degree programme (LM) in Economics and Economic Policy (cod. 8420)

Learning outcomes

The course provides the necessary tools to understand the financial investment choices of individual and institutional investors. At the end of the course students are expected to know theoretically and practically how to assess the performance and risks of the main financial instruments traded on financial markets, to know how to combine the individual securities in a portfolio; to know the evaluation criteria of the main financial instruments (bonds, equities and derivatives), the principles of modern portfolio theory and the main combination strategies of financial portfolios.

Course contents

• Introduction to the market of derivatives;

• Operating mechanisms of future markets and hedging strategy;

• Interest Rates, Forward Rates, Future Prices, Interest Rates Futures

• Interest Rate Swap Contracts

• How the options market works, basic properties of options;

• Options Pricing: binomial trees and risk-neutral evaluating;

• The Black-Scholes-Merton Model;

• Credit risk and (credit) derivatives

• In-depth analysis of CDS, CDO and ABS securitization;

• Financial Crisis and derivatives;

The second part of the course is taught by Dr. Riccardo Tedeschi.

Readings/Bibliography

Hull, J.C. - Options futures and other derivatives (10th edition), Pearson, 2018

Further bibliographical references will be provided during the course. The teaching material will be made available on the platform http://iol.unibo.it/

Teaching methods

Lectures followed by in-class tutorials.

 

Assessment methods

The exam consists of a written test, in which the student will be asked to demonstrate the ability to apply both analytically and numerically what was learned during the course.

Teaching tools

Frontal lessons with projector support; applications developed in excel and visual basic for the evaluation of derivative contracts discussed during the lessons.

Office hours

See the website of Giuseppe Lusignani

See the website of Riccardo Tedeschi