Il Prof.Carl Chiarella [ UTS Business School, Sydney ] sarà ospite del Dipartimento di Informatica dell’Università di Verona [ Strada le Grazie, 15 - Vr ] nei giorni dal 6 al 10 Ottobre 2014 e terrà un mini corso [8 ore] intitolato

” Interest rate options “

ed articolato in tre lezioni, che si terranno nell'edificio Ca' Vignal 2 - Aula M, nei giorni 

con il seguente programma

  • The Black-Scholes model with stochastic interest rate

    • The Hedging Portfolio

    • Solving for the Option Price

  • Change of Numeraire

    • Option Pricing under Stochastic Interest Rates

    • Change of Numeraire with Multiple Sources of Risk

  • Interest Rate Caps, Floors and Collars

    • Payoff Structure of Interest Rate Caps and Floors

    • Relationship to Bond Options

  • The Relationship between Interest Rates, Bond Prices and Forward Rates

  • Modelling Forward Rates

    • Arbitrage Models of the Term Structure

    • Some Specific Term Structure Models

  • The Heath-Jarrow-Morton Framework

    • Basic Structure

    • Arbitrage Pricing of Bonds

    • Arbitrage Pricing of Bond Options

    • Forward Risk Adjusted Measure

    • Reduction to Markovian Form

    • Some Special Models


Per  informazioni contattare: luca.dipersio@univr.it

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Luca Di Persio - PhD
assistant professor of
Probability and Mathematical Finance

Dept. Informatics University of Verona
strada le Grazie 15 - 37134 Verona - Italy
Tel  :   +39  045  802 7968

Dept. Math  University of Trento
V. Sommarive, 14 - 38123 Povo - Italy
Tel  :   +39  0461  281686