Academic year
2020/2021 Syllabus of previous years
Official course title
Course code
EM4063 (AF:332441 AR:179312)
Blended (on campus and online classes)
ECTS credits
Degree level
Master's Degree Programme (DM270)
Educational sector code
2nd Term
Course year
Go to Moodle page
The teachin is core for the master's degree programme in Amministrazione, finanza e controllo. It aims to provide the essential knowledge relating to the main financial derivative products - forwards/futures, options and swaps -, with particular attention to their pricing and to hedge the risks associated with their trading. Software tools are also used in the course.
1. Knowledge and understanding:
1.1. technically knowing the main financial derivative products;
1.2. understanding and being able to use the quantitatives for pricing.

2. Ability to apply knowledge and understanding:
2.1. applying the appropriate quantitative models for solving operational problems;
2.2. implementing financial calculations by software tools.

3. Judgement skill:
3.1. interpreting the results coming from financial analyses and calculations;
3.2. understanding pros and cons of the quantitative models learned.
Keeping fresh in mind the educational objectives of the following teachings of the bachelor's degree programme in the economic area: Mathematics - 1, Mathematics - 2, Computational Tools for Management, Financial Mathematics.
- Recall of elements of classical financial mathematics.
- Elements on stocks.
- Forwards and futures: hedging strategies; pricing models.
- Options: hedging strategies; pricing models.
- Swaps.
- Hull J. (2018) "Opzioni, utures e altri derivati", Pearson-Prentice Hall, Milano [Reference textbook].
- Hull J. (2018) "Opzioni, futures e altri derivati: Manuale delle soluzioni", Pearson-Prentice Hall [Reference textbook].

- Teaching materias available on the e-learning platform Moodle.

- Rubinstein M. (2005) "Derivati", Il Sole 24 Ore [Integrative reading].
- Wilmott P. (2003) "Introduzione alla finanza quantitativa", Egea [Integrative reading].
The exam consists in two homeworks and in a written test.
The homeworks: 1) must be carried out by using a spreadsheet or a software tool; 2) must be carried out in groups; 3) are valid for the whole academic year and not beyond; 4) their carrying out must be sent by e-mail no later than a pre-established deadline (the e-mail address and the deadline will be indicated during the course).
The written test: 1) has a duration of 80 minutes; 2) involves two exercises and one questions; 3) it is possible to use a formulary drawn up by the student constituted by 10 formulas and a non-graphic and non-programmable scientific calculator; 4) notes or other similar material can not be consulted; 5) the carrying out must show all the necessary arrangements and all the calculations must be justified.
Regarding the evaluation: 1) each homework is worth 0 to 4 points, for a total of 0 to 8 points; 2) each exercise of the written test is worth 0 to 8 points, for a total of 0 to 16 points; 3) the question of the written test is worth 6 points
The sum of the points obtained in the homeworks and in the written test constitutes the final grade.
The course is articulated into:
a) lectures, also with the use of software;
b) classroom exercises;
c) individual study.
Students are strongly encouraged to actively attend classes.
- Site of the course present on the e-learning platform Moodle.

This subject deals with topics related to the macro-area "Human capital, health, education" and contributes to the achievement of one or more goals of U. N. Agenda for Sustainable Development

Definitive programme.
Last update of the programme: 01/11/2020