Università degli Studi di Perugia

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Unit FINANCIAL HEDGING AND RISK MANAGEMENT

Course
Finance and quantitative methods for economics
Study-unit Code
A000205
Location
PERUGIA
Curriculum
Finanza ed assicurazione
Teacher
Gianna Figa' Talamanca
Teachers
  • Gianna Figa' Talamanca - Didattica Ufficiale
Hours
  • 42 ore - Didattica Ufficiale - Gianna Figa' Talamanca
CFU
6
Course Regulation
Coorte 2018
Offered
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.
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