Financial Engineering

UNIVERSITÀ DELLA SVIZZERA ITALIANA
A Mendrisio (Svizzera)

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Informazione importanti

  • Corso
  • Mendrisio (Svizzera)
Descrizione

Descrizione This course provides a thorough grounding in the specific tools used in the industry practice to evaluate and hedge derivative products, relying on no-arbitrage trees and the methods of calibration of the yield curve.

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Dove e quando

Inizio Luogo
Consultare
Mendrisio
Tessin, Svizzera
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Programma

Descrizione

This course provides a thorough grounding in the specific tools used in the industry practice to evaluate and hedge derivative products, relying on no-arbitrage trees and the methods of calibration of the yield curve.

By the end of the course, the students will be familiar with a variety of topics, including the pricing of interest rate derivatives based on (i) implied binomial trees and (ii) Arrow-Debreu state prices, and (iii) the modeling of exotic products through calibration methods relying on SABR models—the workhorse of brokerage houses operating in over-the-counter markets. These methods are developed both in discrete and continuous time.

The source for this course is a comprehensive set of lecture notes, tutorials and case studies, based on Chapters 10 and 11 of Antonio Mele´s Lectures on Financial Economics available online from www.antoniomele.org.


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