B2209 - OPTIONS, FUTURES AND DERIVATIVES

Learning outcomes

At the end of the course the student has a sound knowledge of the financial products traded in the market, the differences among them, and the reasons why they were introduced in the market. The products range from standard bonds and stocks, to derivatives and structured finance products. The student has knowledge of the main agents trading in the market, as fund raisers or investors, as well as financial intermediaries.

Course contents

Modulo 1


Interest risk
Liquidity risk
Market risk
Credit risk
Operational risk


Non traditional risk


Futures
Swaps
Options
CDS


Management methodologies: limits and opportunities

Readings/Bibliography

Hull J., 2023, Options, Futures, and Other Derivatives, Pearson.


Resti A, Sironi A., 2007, Risk Management and Shareholders' Value in Banking: From Risk Measurement Models to Capital Allocation Policies

Teaching methods

Lectures, exercises, cases and reading with discussion

Assessment methods

The exam consists of a written test, where you will be asked to show that you can apply what was developed in the lessons.

In detail, the written exam is divided into three parts lasting respectively 25 minutes, 10 minutes and 20 minutes: a first composed of 12 multiple choice questions (mix of theoretical questions and simple exercises), a second part of one exercise and a third part with an open question.

For each correct answer of the 12 questions, 2 points will be assigned (+2); for each wrong answer, a reduction of 0.50 points (-0.50) and, in the case of no answer, 0 points.

The correct answers in the second part, in the form of a multiple-choice, give a maximum of 4 points. The open question will be assigned a maximum score of 5 points.

The final grade, out of thirty, is obtained by re-proportioning the overall score achieved (first and second module) to the value of 33 (rounded).

Teaching tools

Excel, wooclap, internet, case

Office hours

See the website of Simona Cosma