The course is divided in two parts; for each part detailed references will be given and teaching materials
will be posted on the site.
Module A : Topics in Fixed income and Credit Risk (20h)
Review of the pricing approach of Fixed Income Derivatives in the old framework with a critical
focus on the underlying hypotheses. The change of measure technique.
The aftermath of the 2008 crisis: the segmentation of interest rate markets, the advent of negative
rates and the need for a di erent pricing paradigm.
The new multicurve approach and OIS Discounting of collateralized deals
CDS and Risk neutral Default probabilities.
Introduction to CVA, DVA, FVA. De nitions, methods and open problems
Hints to BASEL 3 and CVA risk capital requirements
Module B : Topics in Equity Derivatives (20h)
Market structure of Equity derivatives
Approximate pricing formulas, BS: Long dated / short dated option di erence in sensitivities
What we see in the market ? stylized facts about vol surfaces
Implied volatility skew: basics economic signi cance
Methods of the calibration of the risk-neutral density function for the future asset price based on
path independent option prices with underlying dynamics
Another model free approach : option price calibration from Renyi Entropy