Course Syllabus

Export

Il corso ha un approccio practitioner, presentando le attuali migliori pratiche di mercato, spesso non ancora documentate nei libri di testo. Sono invitati come lecturer protagonisti del mondo finanziario: trader, risk manager, quant e consulenti. Il corso si propone di fornire agli studenti le conoscenze solitamente verificate in fase di candidatura alle banche di investimento nell'area dei derivati ​​su tassi di interesse.

Il corso introduce alla valutazione dei prodotti derivati (lineari, plain vanilla e esotici) e presenta i principali modelli di tasso d'interesse e credito.

Speciale enfasi è posta sulla costruzione delle curve di tasso/credito e la rilevanza delle diverse forme (o della mancanza) di collateralizzazione.

  • FRA, Futures, e Swaps
  • Bootstrapping delle curve di tasso in scenari multi-curva
  • Modello di Black e varianti shifted log-normal
  • Volatilità dei tassi di interesse: par, forward, no-arbitrage e modello SABR
  • Modelli di struttura a termine: equilibrio, non-arbitraggio, short rate e modelli di mercato
  • Cap, Floor, Swaption e Swaption Bermudane
  • Credit Default Swaps
  • Bootstrapping delle curve di credito 
  • Rischio di controparte: clearing, collateralizzazione e correzioni di valutazione XVA
  • Gestione del rischio di mercato: greche e replica statica di prodotti strutturati

  • Interest Rate Basics
  • Rate Curves Calibration
  • Black Model
  • Volatility
  • Caps and Floors
  • Swaptions
  • Structured Products
  • Greeks and Hedging
  • Interest Rate Models
  • Bermudan Swaption
  • Credit Derivatives
  • Counterparty Risk, Collateral Protection and Central Clearing
  • Credit Default Swaps
  • Credit Curve Bootstrapping
  • XVAs: Introduction to Valuation Adjustments
  • The Reform of Benchmark Interest Rate Indexes and Its Impact on Derivative Pricing

Derivati, processi stocastici, misure di rischio


Agli studenti che frequentano le lezioni viene chiesto di risolvere degli assignments. Gli assignments hanno una scadenza e non sono obbligatori/consentiti per gli studenti che non hanno partecipato attivamente all'attività didattica semestrale.

Gli assignments possono essere affrontati in modo cooperativo da un gruppo di studenti, fino a tre studenti. Gli assignments andati a buon fine contribuiscono fino ad un massimo di cinque punti al voto finale.

La prova orale finale sarà individuale.

  • John Hull, Options, Futures and Other Derivatives, 10th edition
  • Paul Wilmott, on Quantitative Finance

Primo semestre, ottobre-gennaio

Il materiale didattico è in inglese, la lezione in italiano.

Export

The course has a practitioner approach, presenting the current market best practices, often not yet documented in textbooks. Lecturers from the street are invited: traders, risk-managers, quants, consultants. The course aims to provide the students with the knowledge usually tested when applying for investment banks in the interest rate derivatives area.

The course is about the valuation of derivative products (linear, plain vanillas, and exotics) and presents the main Interest Rate and Credit models, with special emphasis on rate/credit curve construction and collateralization issues.

  • FRA, Futures, and Swaps
  • Rate curve bootstrapping in multi-curve regimes
  • Black Model and its shifted log-normal variants
  • Interest rate volatility: par, forward, no-arbitrage, and SABR model
  • Term structure models: equilibrium, no-arbitrage, short rate, and market models
  • Caps and Floors, Swaptions, and Bermudan Swaptions
  • Credit Default Swaps
  • Credit curve bootstrap
  • Counterparty risk: clearing, collateralization, and XVA valuation adjustments
  • Market risk management: greeks and static replica of structured products

  • Interest Rate Basics
  • Rate Curves Calibration
  • Black Model
  • Volatility
  • Caps and Floors
  • Swaptions
  • Structured Products
  • Greeks and Hedging
  • Interest Rate Models
  • Bermudan Swaption
  • Credit Derivatives
  • Counterparty Risk, Collateral Protection and Central Clearing
  • Credit Default Swaps
  • Credit Curve Bootstrapping
  • XVAs: Introduction to Valuation Adjustments
  • The Reform of Benchmark Interest Rate Indexes and Its Impact on Derivative Pricing

Derivatives, stochastic processes, risk measures


Students attending the lessons are asked to solve some assignments. Assignments have a deadline and are not required/allowed for students that did not actively partecipate to the semester didactical activity.

Assignments can be tackled cooperatively by team of students, up to three students. Successful assignments will contribute up to five points to the final grade.

The final oral exam will be individual.


  • John Hull, Options, Futures and Other Derivatives, 10th edition
  • Paul Wilmott, on Quantitative Finance

First semester, October-January

English didactical material, Italian lessons.

Enter

Key information

Field of research
SECS-S/06
ECTS
4
Term
First semester
Activity type
Mandatory to be chosen
Course Length (Hours)
28
Language
Italian

Staff

    Teacher

  • Ferdinando Maria Ametrano
    Ferdinando Maria Ametrano

Enrolment methods

Manual enrolments
Self enrolment (Student)