Portale di Ateneo - En.Unibs.it

1. Derivatives

(a) Arbitrage, derivatives, and hedging

(b) Estimating the elasticity of a derivative with respect to the underlying

2. Forward and futures

(a) Spot and forward prices

(b) Forward on cash flow paying underlying

(c) Futures

(d) Forward rate agreement (FRA)

3. Swaps

(a) Interest Rate Swap (IRS)

(b) IRS in discrete time

(c) EURIRS

4. Options

(a) Strategies on options

(b) Vanilla and exotic options

(c) Put-call parity

(d) Option pricing (martingale)

(e) The Black e Scholes model

(f) The volatility smile

(g) The Greeks and the immunization

(h) Estimation of the Greeks

(i) Convertible bonds

(j) Options on interest rates: cap and floor

(k) Swaptions

5. American options

(a) Put-call parity

(b) Call American options: Thresholds of the non-arbitrage price

(c) Put American options: Thresholds of the non-arbitrage price

6. Asset pricing with credit risk

(a) Zero-coupon bond with credit risk

(b) The fundamental theorem of asset pricing with credit risk

(c) The recovery rate

(d) Coupon bonds with credit risk

(e) Life insurances

(f) Credit default swap (CDS)

(g) Securitization and Asset backed securities (ABS)

(h) Collateralized debt obligations (CDO)