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 Scheda Riassuntiva
 Anno Accademico 2015/2016 Scuola Scuola di Ingegneria Industriale e dell'Informazione Insegnamento 095982 - FINANCIAL ENGINEERING Docente Baviera Roberto Cfu 10.00 Tipo insegnamento Monodisciplinare

Corso di Studi Codice Piano di Studio preventivamente approvato Da (compreso) A (escluso) Insegnamento
Ing Ind - Inf (Mag.)(ord. 270) - MI (487) MATHEMATICAL ENGINEERING - INGEGNERIA MATEMATICA*AZZZZ095982 - FINANCIAL ENGINEERING

 Programma dettagliato e risultati di apprendimento attesi
 Course: Financial Engineering Code: 095982     Main obiectives and contents From theory to practice in finance. The course presents with a case-study approach some significant examples where a financial engineer could provide a relevant contribution: 1.  Credit Risk: single-name and multi-name products; 2.  Quantitative Risk Management (RM): from RM Measures to RM Techniques; 3.  Structured products: calibration, valuation and some hedging issues.     Description of main arguments 1. Basic derivatives’ concepts -  Forward & option: Exchange-traded Markets vs OTC markets, Forward vs Futures. Forward Price: deduction via a no-arbitrage argument. European Option (Call/Put): decomposition in Intrinsic Value & Time Value; Put Call Parity. CRR & Black Model and examples. Monte-Carlo technique. -  Main Greeks: Delta, Gamma, Vega e Theta. Volatility Smile. -  Basic Interest Rate (IR) instruments: Fundamental Year-fractions in IR Derivatives. Depos, Forward Depos, FRA, STIR Futures, Interest Rate Swaps & Fwd Swap, Cap/Floor, Swaptions, “InterBank Floaters”. -  IR bootstrap. Sensitivities: BPV, DV01 and duration. For a linear portfolio, sensitivity analysis and hedging of IR risk with IRS.   2. Credit Risk -  Introduction to credit risk. -  Basic FI instruments in presence of Credit Risk: Fixed Coupon Bond, Floater Coupon Bond, Asset Swap, CDS. SPOL, CDS, ASW relations. Bootstrap Credit Curve. -  Firm-value (Merton, KMV calibration, Black-Cox) & Intensity Based Models (Jarrow & Turnbull, inhomogeneous Poisson). -  Multiname products (ABS, MBS, CDO) and models for HP and LHP (Vasicek, O'Kane & Schloegl model, double t-Student, General Threshold Model). -  Copula approach and Li model with examples (Archimedean and Gaussian Copulas), Implied Correlation in CDO trances.   3. Quantitative Risk Management -  Basel I & II, Risk Management Policy. -  VaR/ES: examples, Variance-Covariance method, Historical Simulation, Weighted Historical Simulation, Bootstrap, Full valuation Monte-Carlo, Delta-normal & Delta Gamma method, plausibility check, losses over Several Periods and Scaling rule. Coherent measures: assioms, VaR subadditivity (counterexample, elliptic case), ES coherence. -  Backtest VaR: Base approach, unconditional backtest, conditional backtest. -  Capital Allocation: Euler Principle & Contribution to VaR & ES. -  Incremental Risk Charge.   4. Structured products main typologies with examples. -  Certificates, Equity and IR Structured bond: the general Monte-Carlo approach for pricing not-callable structured products. Callable & Autocallable products. -  Deal structuring and Issuer hedging. -  Digital Risk: Slope impact & Black Correction in Autocallable products, FFT technique. Lewis formula for option pricing and analytic strip via an example: Exponential Levy model and characteristic function (NIG & VG). Global calibration and pricing via a Monte-Carlo (NIG). Sticky Strike & Sticky Delta. Parsimony and smile symmetry. -  IR products and models: plain vanilla and exotics. HJM models: Main equation under Risk Neutral measure. Proposition: Equivalence with a ZC bond approach. Fundamental Lemmas and examples:   o   Market models: forward measure and application in the general derivative premium case. LMM and caplet solution. Calibration: Flat Vol vs Spot Vol in Cap/Floor markets.   o   Hull White model (Extended Vasicek): Cap/Floors solution, Bond Options & Swaptions exact solution. Calibration issues. Pricing: Trinomial Tree Construction.     Course Prerequisites -  Arbitrage Pricing Theory -  Forwards, Futures, Call/Put European and American Options -  CRR and Tree pricing approach -  Fixed Coupon Bonds, Floaters and their sensitivities (e.g. duration) -  Stochastic Ito Calculus, Girsanov Theorem and change of measure -  Integration rules in the complex plain -  Proficiency in Matlab

 Note Sulla Modalità di valutazione
 Written and oral exam.

 Bibliografia
 A. J. McNeil, R. Frey & P. Embrects, Quantitative Risk Management: Concepts, Techniques and tools, Editore: Princeton University Press, Anno edizione: 2005, ISBN: 0691122555Note:Risk Management P.J. Schonbucher, Credit Derivatives Pricing Models, Editore: Wiley, Anno edizione: 2003, ISBN: 0470842911Note:Credit Risk J. Hull, Options, futures and other derivatives, Editore: Pearson Prentice Hall, Anno edizione: 2009, ISBN: 0136015867

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 Mix Forme Didattiche
Tipo Forma Didattica Ore didattiche
lezione
60.0
esercitazione
40.0
laboratorio informatico
0.0
laboratorio sperimentale
0.0
progetto
0.0
laboratorio di progetto
0.0

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