30426 - Options, Futures and other Derivatives

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;

• Options to executives, Options on stock indices and currencies, Options on Futures

• 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. - Opzioni, Futurese altri derivati, Pearson (8a edizione italiana), 2012
Hull, J.C. - Options futures and other derivatives (8th edition); 2012

The complete bibliography will be available at the beginning of the course and will be posted in the reserved area.

Teaching methods

Lectures followed by in-class tutorials.

Lectures are followed by in-class tutorials (2 hrs per week) held by Dr. Tedeschi.

Assessment methods

The final exam will be a written test. 

Office hours

See the website of Giuseppe Lusignani

See the website of Riccardo Tedeschi