Unipd course held by professor Martino Grasselli (2021-22)
Report 1 : Returns, historical volatility, capitalisation factor (simple compounding/ discounting), risk neutral probability.
Report 2 : Equity market quotes, box spread, call-put parity.
Report 3 : VBA binomial model, Black & Scholes, Leisen and Reimer.
Report 4 : VBA greeks, shock volatility, implied volatility smile/skew, B&S with interest rate.
Report 5 : Average and variance of an equibalanced portfolio, parametric single and joint normal VaR, Monte Carlo VaR, historical simulation VaR.
Report 6 : B&S market, Geometric Brownian Motion simulation (VBA or Python), pricer of vanillas (one or multiple steps Euler scheme), Asian options, Lookback options.
##Main Topics
VBA excel, Option, futures and other derivatives pricing, Binomial model, Black & Scholes, Discrete and continuous time, Hedging portfolios, Multi asset markets, Stochastic volatility, Monte Carlo method