The course aims at providing general and issue-specific knowledge of pricing models for European and American derivatives. The emphasis is on finite time models; firstly, necessary mathematical tools are introduced, then, the general methodology is proposed. Finally, particular and well known models are given, such as binomial and trinomial models.
Expected learning outcomes
Knowledge and understanding: the student should be able to understand the themes and problems related to the theory of derivative pricing in financial markets; he should also know the main tools from the theory of stochastic processes that are used in the pricing theory.
Applying knowledge and understanding: the student should be able to apply the acquired knowledge to concrete problems in specific models. To this purpose, the teacher will illustrate some different examples and specific cases of financial markets and derivatives during the lessons; for non-attending students, assistance time will be provided.
Making judgements: the student should be able to use the acquired knowledge also in an autonomous way, by also applying them to specific issues and problems that are more general or different with respect to those illustrated by the teacher.
Communication: the student should be able to answer in a clear and detailed way to the questions of the written examination and to those of the oral examination.
Lifelong learning skills: the student should be able to show a good learning ability, by widening, for example, his/her knowledge with use of relevant bibliographic references, The student should also be able to tackle the pricing problems independently from the specific model considered
ITALIAN VERSION
