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Teacher
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MASTROENI LORETTA CLARA LETIZIA
(syllabus)
futures and options markets
Financial risk
Market completeness and incompleteness
The concept of arbitrage
The problem of derivative pricing
Pricing models: the binomial model, the trinomial model, the Black–Scholes–Merton model, and alternative pricing models
The Greeks
Hedging techniques
Volatility smiles
Value at Risk
Risk in energy markets
Derivative instruments in energy markets
Exotic options
Investment project evaluation and real options
(reference books)
John C. Hull, Opzioni, futures e altri derivati, Ed. Pearson
Materials provided by the lecturer
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Università Roma Tre