- Docente: Giuseppe Lusignani
- Credits: 6
- SSD: SECS-P/11
- Language: Italian
- Moduli: Riccardo Tedeschi (Modulo 1) Giuseppe Lusignani (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)
-
from Sep 15, 2025 to Sep 23, 2025
-
from Sep 23, 2025 to Oct 14, 2025
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
Module 1
- Introduction to the market of derivatives
- Operating mechanisms of future markets and hedging strategy
- Interest Rates, Forward Rates, Future Prices, Interest Rates Futures
- 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
Module 2
- Introduction to Credit Risk: Single Name and Portfolio
- Assessment of Defaultable Bonds
- Assessment of Credit Default Swaps.
The second module is taught by Dr. Riccardo Tedeschi.
Readings/Bibliography
Hull, J.C. -Options futures and other derivatives (12th edition), 2021
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, where the student will be asked to show the ability to apply, both analytically and numerically, what it has been covered during the lectures.
The final grade of the GRF exam will contribute 50% to the final grade of the integrated course in Risk Management and Investment Analysis.
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