INTRODUCTION TO FINANCIAL DERIVATIVES

The teachin is core for the master's degree programme in Amministrazione, finanza e controllo. It aims to provide the essential knowledge relating to the main financial derivative products - forwards/futures, options and swaps -, with particular attention to their pricing and to hedge the risks associated with their trading. Software tools are also used in the course.

1. Knowledge and understanding:
1.1. technically knowing the main financial derivative products;
1.2. understanding and being able to use the quantitatives for pricing.

2. Ability to apply knowledge and understanding:
2.1. applying the appropriate quantitative models for solving operational problems;
2.2. implementing financial calculations by software tools.

3. Judgement skill:
3.1. interpreting the results coming from financial analyses and calculations;
3.2. understanding pros and cons of the quantitative models learned.

Keeping fresh in mind the educational objectives of the following teachings of the bachelor's degree programme in the economic area: Mathematics - 1, Mathematics - 2, Computational Tools for Management, Financial Mathematics.

- Recall of elements of classical financial mathematics.
- Elements on stocks.
- Forwards and futures: hedging strategies; pricing models.
- Options: hedging strategies; pricing models.
- Swaps.

- Hull J. (2018) "Opzioni, utures e altri derivati", Pearson-Prentice Hall, Milano [Reference textbook].
- Hull J. (2018) "Opzioni, futures e altri derivati: Manuale delle soluzioni", Pearson-Prentice Hall [Reference textbook].

- Teaching materias available on the e-learning platform Moodle.

- Rubinstein M. (2005) "Derivati", Il Sole 24 Ore [Integrative reading].
- Wilmott P. (2003) "Introduzione alla finanza quantitativa", Egea [Integrative reading].

The exam consists in two homeworks and in a written test.
Homeworks: 1) must be carried out by using a spreadsheet or a software tool; 2) must be carried out in groups; 3) are valid for the whole academic year and not beyond; 4) their carrying out must be sent no later than a pre-established deadline (the way of sending and the deadline will be indicated during the course).
Written test: 1) has a duration of 80 minutes; 2) involves two exercises and one questions; 3) it is possible to use a formulary drawn up by the student constituted by 10 formulas and a non-graphic and non-programmable scientific calculator; 4) notes or other similar material can not be consulted; 5) the carrying out must show all the necessary arrangements and all the calculations must be justified.
Regarding the evaluation: 1) each homework is worth 0 to 4 points, for a total of 0 to 8 points; 2) each exercise of the written test is worth 0 to 8 points, for a total of 0 to 16 points; 3) the question of the written test is worth 6 points
The sum of the points obtained in the homeworks and in the written test constitutes the final grade.

The course is articulated into:
a) lectures, also with the use of software;
b) classroom exercises;
c) individual study.
Students are strongly encouraged to actively attend classes.

Italian

- Site of the course present on the e-learning platform Moodle.

written

This subject deals with topics related to the macro-area "Human capital, health, education" and contributes to the achievement of one or more goals of U. N. Agenda for Sustainable Development