INTRODUCTION TO FINANCIAL DERIVATIVES

The course is core for the master's degree program 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, futures 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 optional 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). Each homework can get a maximum of 2 points for a total of 4 points.

Written test: 1) has a duration of 90 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.

written

The assessment includes a compulsory homework and an optional work, plus a written exam.
Homeworks carry between 0 and 4 points each. The written exam carries up to 26 marks, and the minimum pass mark is 18.

Duration: 90 minutes.
Consists of three exercises, one of which is more theoretical.
The written exam is graded from 0 to 26, with a minimum passing grade of 18.
To achieve a passing grade in the exam, the student must demonstrate the ability to solve two of the proposed exercises.
To achieve an intermediate grade above the passing level, the student must demonstrate the ability to solve all the proposed problems without major errors.
To achieve the highest grade, the student must demonstrate the ability to solve all three problems in the exam accurately.

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.

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