Advanced DerivativesUNIVERSITÀ DELLA SVIZZERA ITALIANA
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- Mendrisio (Svizzera)
Cosa impari in questo corso?
This second-year master course covers advanced models of derivative securities. We will alternate lectures and exercise sessions.
- Finite Differences
- Simulation Methods
- Exotic Options
- Advanced numerical methods
- The standard and the LIBOR Market Model
- Credit risk and credit derivatives
- Mishaps in derivative markets.
The course will be mostly based on the book by Hull, "Options Futures and Other Derivatives", class notes and academic papers.