- Docente: Emanuele Bajo
- Credits: 8
- SSD: SECS-P/09
- Language: Italian
- Moduli: Emanuele Bajo (Modulo 1) Antonio Arfè (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
By the end of the course, students will be able to apply the main techniques to hedge financial risks such as commodity, interest rate and currency. The focus of the course is on financial derivatives, commonly considered as standard devices for hedging purposes. Students will also learn how to price the main plain-vanilla derivatives (futures and forward, IRS and options).
Course contents
Introduction to risk management
Futures and Forward: definition and pricing
Risk hedging through Futures and Forward
Yield curve and forward interest rates
Interest rate swap and currency swap: pricing and hedging practices
Introduction to options
Option pricing (Black & Scholes)
Readings/Bibliography
E.Bajo, Rischi finanziari
delle imprese.
Politiche di
copertura, modelli ed evidenze
empiriche
, Franco Angeli, Milano
(2012)
Assessment methods
Valuation is based on a written exam.
Office hours
See the website of Emanuele Bajo
See the website of Antonio Arfè