Equilibrio nei mercati finanziari. Titoli derivati, loro modalità di negoziazione e di impiego. Strategie operative. Modelli discreti di pricing per opzioni.
Obiettivi Formativi
CONOSCENZE: Financial markets and financial derivative instruments. Valuation of derivative instruments and their use for hedging and speculation strategies.
COMPETENZE: Pricing of financial instruments. Implementation via excel of pricing models and specific strategies.
Capacità acquisite al termine del corso: Understanding of how financial markets work, how derivative instruments can be employed for different purposes. Confidence in the use of complex excel worksheets for valuation and analysis of financial instruments.
Solution of a financial problem using excel. Oral examination.
Programma del corso
Uniperiodal equilibrium model for multiasset markets. Forward contracts. Futures markets. General theory of hedging. Option contracts and option markets. Call-put parity relationship and other relationships concerning the prices of options. Strategies involving options. Binomial models for option pricing. Montecarlo methodology for the pricing of exotic options. Portfolio insurance.