000252L - DERIVATIVES PRICING AND RISK MANAGEMENT I

courses
ID:
000252L
Duration (hours):
48
CFU:
6
SSD:
METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE
Located in:
PESCARA
Url:
ECONOMICS AND COMMERCE/ECONOMIA E FINANZA Year: 3
Year:
2025
Course Catalogue:
https://unich.coursecatalogue.cineca.it/af/2025?co...

Overview

Date/time interval

Secondo Semestre (11/02/2026 - 18/05/2026)

Syllabus

Course Objectives

The knowledge of the basic financial derivatives, the main mathematical models for risky assets price dynamics,
their hedging strategies and pricing. The course aims to provide specific quantitative knowledge:
- for professional figures operating in financial markets;
- for research activities in Finance;
- specialists in accounting and financial problems;
- profession of Financial Consultants.

Course Prerequisites

Probability and Mathematical Analysis.

Teaching Methods

The course is structured in 48 hours of frontal teaching, consisting of
theoretical lessons and exercises sessions with the correction of exercises assigned by the
professor. The exercises proposed by the teacher allow to verify
the practical application of the topics seen at a theoretical level.

Assessment Methods

The final exam will consist of a written test consisting of exercises.
The written text can be taken in English upon request.

Texts

- J. C. Hull, Opzioni, futures e altri derivati, 8a edizione. Il Sole 24 ore.
- Lecture notes provided by the teacher
- The textbook is also available in English and the on-line material is available in English, upon request.

Contents

Derivatives: forward, future e options and their properties. Binomial
trees: hedging and risk neutral pricing. Cox-Ross-Rubinstein formulas for
call and put. Black and Scholes model: hedging and risk neutral pricing.
Credit risk models: pricing of DZCB and CDS.

Course Language

Italian

More information

Weekly office hours
E-mail: flavia.antonacci@unich.it

Degrees

Degrees

ECONOMICS AND COMMERCE 
Bachelor’s Degree
3 years
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