- Docente: Giuseppe Lusignani
- Credits: 6
- SSD: SECS-P/09
- Language: Italian
- 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 Financial Markets and Institutions (cod. 0901)
Learning outcomes
The course aims to introduce the main derivative contracts used for financial risk management: futures, interest rate swaps and credit derivatives. The first part of the course deals with the features and possible uses of these instruments to hedge against risks, as well as their pricing formulas. The second part of the course is dedicated to the introduction of the main issues of credit risk, with particular reference to the valuation of a set of financial instruments whose value depends on the possible default of the counterparty (bonds, credit default swaps, securitizations).
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 and Merton Models;
- OptionsOptions on stock indices and currencies
- Introduction to Credit Risk: Single Name and Portfolio
- Assessment of Defaultable Bonds
- Assessment of Credit Default Swaps.
The second part of the course is taught by Dr. Riccardo Tedeschi.
Readings/Bibliography
Hull, J.C. -Options futures and other derivatives (10th edition), 2018
Christian Bluhm, An Introduction to Credit Risk Modelling. Chapman & Hall. (2003)
Further bibliographical references will be provided during the course and made available on the http://virtuale.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