This course provides a broad understanding of derivatives contracts, their pricing, and their use.
The course consists of two parts. The first part is taught by Roberto Marfè and concerns the theory of pricing and hedging derivative contracts. A number of lectures are also devoted to exercise sessions, taught by Alessandro Anfosso. The second part is taught by Giulia Livieri and provides an overview of machine learning techniques applied in finance. If possible, the course will also include guest lecture(s) by practitioners.
The main topics are the following:
First Part (Derivatives with Roberto Marfè)
An economic foundation of derivative pricing
Introduction to derivatives
Option pricing: a review of the binomial model
The Black-Scholes model and dynamic hedging
Credit risk and other uses of derivatives (if time permits)
Operational hedging: the practitioner's viewpoint
Second Part (Machine Learning with Giulia Livieri)
...
The exam is written, closed books, and lasts 2 hours.
Please, register on both the Moodle and the website of the course.
The course consists of two parts. The first part is taught by Roberto Marfè and concerns the theory of pricing and hedging derivative contracts. A number of lectures are also devoted to exercise sessions, taught by Alessandro Anfosso. The second part is taught by Giulia Livieri and provides an overview of machine learning techniques applied in finance. If possible, the course will also include guest lecture(s) by practitioners.
The main topics are the following:
First Part (Derivatives with Roberto Marfè)
An economic foundation of derivative pricing
Introduction to derivatives
Option pricing: a review of the binomial model
The Black-Scholes model and dynamic hedging
Credit risk and other uses of derivatives (if time permits)
Operational hedging: the practitioner's viewpoint
Second Part (Machine Learning with Giulia Livieri)
...
The exam is written, closed books, and lasts 2 hours.
Please, register on both the Moodle and the website of the course.
- Teacher: Roberto Marfe'