Study-unit FINANCIAL HEDGING AND RISK MANAGEMENT

Course name Finance and quantitative methods for economics
Study-unit Code A000205
Location PERUGIA
Curriculum Finanza ed assicurazione
Lecturer Gianna Figa' Talamanca
Lecturers
  • Gianna Figa' Talamanca
Hours
  • 42 ore - Gianna Figa' Talamanca
CFU 6
Course Regulation Coorte 2018
Supplied 2019/20
Learning activities Affine/integrativa
Area Attività formative affini o integrative
Sector SECS-S/06
Type of study-unit Obbligatorio (Required)
Type of learning activities Attività formativa monodisciplinare
Language of instruction English
Contents "The construction of hedging strategie for financial derivatives in the Black and Scholes framework.¿Introduction to main risk measures and their properties."
Reference texts Quantitative Risk Management:, McNeil, , R. Frey, A., Embrechts, P., Ed. Princeton University Press (Chap. 2-3, 5-6)¿¿Opzions, Futures and other Derivatives, J. Hull, Ed. Pearson, Prentice-Hall. ¿¿Arbitrage Theory in Continuous Time, T. Björk, Ed. Oxford university press.
Educational objectives The course aims at providing the students with basica knowledge abourt risk hedging and measurement both for invesment purposes and for the assessment of capital allocation to fulfill the requirements of market regulators
Prerequisites Statistica inference, probability theory, matrix calculus, functions with vector input. Option pricing.
Teaching methods Classes, exercises, computer lab sessions, homeworks.
Other information The course has a quantitative approach to topics. Students should have attended/passed the Mat-Stat courses of the first year of this master degree.
Learning verification modality Written and oral exam
Extended program The detailed program will be posted in the e-learning platform Unistudium just before the term starts.