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Option Theory and Structured Products (91075-ENG)

Pagina del corso: 91075 - Option Theory and Structured Products (91075-ENG)
Docente/i: Giorgio Consigli

Note sul corso
Derivative products and financial engineering

The course provides an exhaustive treatment of the economics and financial features of options and structured products, with a specific focus on valuation principles, hedging and speculative strategies characterizing those markets.
The course evolves from the introduction of a wide class of options contracts with underlying including equities, fixed-income and futures contracts, to the explanation of the common valuation framework relying on closed form (Black and Scholes, Black) or numerical (Monte Carlo) approaches.
The course leaves space to the discussion by the students of specific case-studies and an extensive use of computer sessions is considered to enhance the understanding and the practical adoption options valuation procedures.

References
John Hull Options, Futures and other Derivatives, Pearson Pbl 2005, 6th edition
Salih N. Neftci. Financial Engineering, Elsevier Academic Press 2004, 1st edition
Other references to be agreed with Professor Dempster

Syllabus

1. Introduction to option contracts and derivatives
i. Classes of option contracts and market standards
ii. Markets clearing systems, demand and supply
iii. Financial markets, hedging, arbitrage and speculative strategies
 J.Hull, Options, Futures and other derivatives, 6th ed, chapter 8

2. Options
i. Equity options
ii. European options put-call parity. American options put-call inequality
iii. Option strategies
iv. Fixed-income options
v. Compound options on futures
vi. Real options
 J.Hull, Options, Futures and other derivatives, selected sections from chapters 9, 10, 13, 14, 31

3. Valuation techniques
i. Derivative valuation principles
ii. Pricing techniques
iii. Risk neutral pricing and Monte Carlo

 J.Hull, Options, Futures and other derivatives, selected sections from chap. 11, 12, 13, 17, 26, 28
 S.N.Neftci, Principles of Financial Engineering, chap. 11, 12

4. Hedging
i. The greeks
ii. Delta and gamma hedging
iii. Hedging effectiveness

 J.Hull, Options, Futures and other derivatives, chap. 15

5. Financial engineering
i. Introduction to financial innovation
ii. Structured products
iii. Exotic options

 J.Hull, Options, Futures and other derivatives, ch. 22
 S.N.Neftci, Principles of Financial Engineering, ch. 9, 17 and 18


LAB SESSIONS
Lab 1 ? Discrete and continuous market models
Lab 2 ? Black-Scholes-Merton
Lab 3 ? MC option valuation
Lab 4 ? MC valuation for fixed income instruments
Lab 5 ? Hedging short positions
Lab 6 ? Advanced MC methods



Bacheche del corso
Cartella principale

Programmi del corso
  Anno accademico : 2012-2013
  Codice 91075-ENG
  Programma [agg. 16/10/2012]
 

Informazioni e materiali didattici del corso


Cartella principale Pubblicazione
Syllabus Option theory and structured products 14/09/2012

Testi consultabili in Biblioteca