DERIVATIVES AND INSURANCE - 1

Academic year
2017/2018 Syllabus of previous years
Official course title
DERIVATIVES AND INSURANCE - 1
Course code
EM5022 (AF:252792 AR:142722)
Modality
On campus classes
ECTS credits
6 out of 12 of DERIVATIVES AND INSURANCE
Degree level
Master's Degree Programme (DM270)
Educational sector code
SECS-S/06
Period
1st Term
Course year
1
Where
VENEZIA
Moodle
Go to Moodle page
This is the first part of a 12 CFU course.
The main part of this course covers the pricing of financial derivatives: forwards, futures, swaps, and options. By the end of the course, students will have good knowledge of how these products work, how they are used, how they are priced, and how it is possible to hedge the risks related to their trading.
Moreover, this course briefly presents the valuation of bonds and the term structure of interest rates.
The final part of the course introduces insurance; in particular it first discusses risks and insurance in the areas of non-life and tehn introduces the main life insurance products.
This first part of the course (first term) will cover bonds, term structure of interest rates, forwards, futures and swaps, and an introduction to options.
Financial mathematics. Basic statistics
PART 1: FIRST TERM

DERIVATIVES
1. Forwards and futures
2. Bonds
3. Term structure of interest rates
4. Pricing of forwards and futures
5. Swaps
6. Options: introduction
Compulsory reading matter:

J. Hull, Options, futures, and other derivatives, Pearson-Prentice Hall, 2012, eigth ed., chapters 1-5, 7, 9
Alternatively: J. Hull, Options, futures, and other derivatives, Pearson-Prentice Hall, 2014, ninth ed., chapters 1-5, 7, 10

Additional reading matter:

J. Hull, Options, futures, and other derivatives: Solution manual, Pearson-Prentice Hall, 2012, eigth ed.
written
Written examination, with both exercises to be solved and open-ended questions.
Students are permitted a one-side “cheat sheet” with the main formulae (only formulae, not written comments or notes), handwritten by the student himself with "normal" size (not microscopic).
For students attending classes, it is possible to pass the exam making an intermediate and a final written tests and an optional team work.
Assessment for students that are regularly attending classes:
1. A written mid-term test at the end of the first trimester, with both exercises to be solved and open-ended questions (50%);
2. A written test at the end of the second trimester, with both exercises to be solved and open-ended questions (50%);
3. An optional team work on on a topic agreed with the teacher, which will result in a short paper (a few pages, say 5-10) and slides for a presentation which will be held at the end of the course (+10%).
Lectures, plus team work for students attending classes
English
For students attending classes, it is possible to pass the exam making an intermediate and a final written tests and a team work.
  • Lecture notes, material for reference or for self-assessment available online or as e-book
  • E-learning, moodle platforms
  • Use of open-source software
Last update of the programme: 01/04/2017