Program Overview

Advanced Derivatives (SFI)

Description

The Advanced Derivatives program is designed to provide students with knowledge of newer derivative contracts and strategies. The program covers various topics, including:

• Finite Differences
• Simulation Methods
• Exotic Options
• Advanced numerical methods
• The standard and the LIBOR Market Model
• Credit risk and credit derivatives
• Mishaps in derivative markets

Objectives

The objectives of the program are to equip students with a deep understanding of advanced derivative concepts and their applications.

Prerequisites

The prerequisites for the program include knowledge of derivatives.

Learning Method

The learning method consists of lectures (50%) and exercise sessions (50%).

Exam Style

The exam style includes an optional midterm (50%) and a final exam (50-100%).

Requested Material

There is no requested material for the program.

Readings/Textbooks

The recommended textbook is "Options, Futures and Other Derivatives" by John C. Hull, Pearson, 8th Edition.

Education

The program is offered as part of the following education programs:

• Master of Science in Economics in Banking and Finance (until A.Y. 2017), elective course, 2nd year
• Master of Science in Financial Technology and Computing, elective course, lecture, 2nd year

Program Details

• Semester: Fall
• Academic year:
• ECTS: 3.0
• Language: English

People

The program is led by:

• Barone Adesi G., Course director
• Tubaldi R., Assistant