Università Roma Tre

The course is aimed at students who want to deepen their knowledge and acquire quantitative tools on risk analysis and management in the financial markets (including the government bond and derivative markets), as well as in the energy and insurance markets, also in light of the problems and weaknesses of the models currently used emerged over the years from the various financial crises and the formation of bubbles.

Program
-The completeness and incompleteness of the markets
-The assumptions underlying the Black-Scholes-Merton model and the alternative valuation models to it
-Arbitrage and hedging techniques
-Greek Letters
-Value at Risk and its generalizations
-High Frequency Trading
-Volatility smiles
-Insurance derivatives
-Risk management in energy markets
-Atmospheric derivatives
-Swaps contracts
-Interest rate derivatives (standard models, short-term rate models, advanced models)
-Real Options
-Exotic Options
-Credit derivatives

John C. Hull, Options, Futures and other Derivatives, Ed. Pearson