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
- Hours
- 42 ore - Gianna Figa' Talamanca
- CFU
- 6
- Course Regulation
- Coorte 2019
- Offered
- 2020/21
- Learning activities
- Affine/integrativa
- Area
- Attività formative affini o integrative
- Academic discipline
- 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.