The course requires a basic knowledge of futures, forwards, options and
swaps (as from the course of Securities Market). In the study of
derivatives we proceed by steps from the simplest to the most complex
notions and it is not possible to proceed in the study without having
understood the first fundamental notions. For this reason it is important
to study regularly during the lessons and make sure that everything
studied in the classroom is clear from time to time.
At the end of the course students will be able to understand what
derivative contracts are, how they are used by corporations and banks,
and what are the main valuation methodologies.
A. Forwards and Futures
Definition and characteristics of the contracts; use of the forwards for
trading, hedging and arbitrage purposes; calculation of the forwards
prices; market value of the forwards contracts; the margin system and
the counterpart risk in the futures; use of the futures for trading purposes
and the leverage effect; use of the futures for hedging purposes (basis
risk.
B . Swaps and Forward rate agreement
Definition and contractual characteristics, The use of swaps for asset
Testi in italiano
Lingua insegnamento INGLESE
liability management purposes; the use of swaps and the argument of
comparative advantage; the calculation of the fixed rate of a swap; the
market value of interest rate swaps; Forward rate agreements uses; the
calculation of forward rates; the market value of forward rate agreement.
. Options and structured products
Options definition; the put call parity; intrinsic value and time value; The
main factors that affect the premium of the options. The pricing models
of the options (binomial and Black and Scholes). Trading strategies with
options. Sensitivity coefficient of options. Structured products
construction and uses.
D. Exchange rate risk, exchange rate markets and the use of derivatives
to hedge exchange rate risk.
The teaching will take place through traditional lectures. An active and
direct dialogue with the students is encouraged, and students can, during
the lessons, formulate proposals for further study or debate.
Practical cases of use of derivatives will be examined and discussed.
In the last sessions a simulation of trading will take place and participants
will have exposure to industry guest speakers
The exam is written.
The examination will focus on the resolution of exercises. Students must
be able to personally rielaborate what is explained in the classroom. In
each exam a part will be dedicated to the solution of new problems (not
discussed in the classroom and not present in the exercises carried out in
the classroom) that require an effort to rework the concepts learned in
class.
Should the course be delivered online adjustement to the above syllabus
could be implemented.