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Financial
Products and
Structures
Mario Dell’Era
Financial Theory
Postulate of yield of
money over the time
Capitalization
Operations
Discounting
Operations
Economic Laws:
Arbitrage Principle
Efficient Market
model
Complete Market
Model
Asset Pricing
Theorems
Modeling
Black&Scholes
Heston
Energy Market Model
Lucia and Schwartz
Greeks and
Hedging
Analytical method
MonteCarlo method
Mario Dell’Era
Quantitative Risk Analyst
E-QuanT bootcamp 2014 at IMT in Lucca(IT) 13-17 October 2014
Mario Dell’Era (Quantitative Risk Analyst) Financial Products and Structures E-QuanT Bootcamp 2014 0 / 42
Financial
Products and
Structures
Mario Dell’Era
Financial Theory
Postulate of yield of
money over the time
Capitalization
Operations
Discounting
Operations
Economic Laws:
Arbitrage Principle
Efficient Market
model
Complete Market
Model
Asset Pricing
Theorems
Modeling
Black&Scholes
Heston
Energy Market Model
Lucia and Schwartz
Greeks and
Hedging
Analytical method
MonteCarlo method
Financial Products and Structures
Financial Theory and Modeling
Mario Dell’Era
Analyst at IntesaSanpaolo and External Professor at Pisa University
m.dellera@be-tse.it
Quantitative Risk Analyst
E-QuanT bootcamp 2014
Mario Dell’Era (Quantitative Risk Analyst) Financial Products and Structures E-QuanT Bootcamp 2014 1 / 42
Financial
Products and
Structures
Mario Dell’Era
Financial Theory
Postulate of yield of
money over the time
Capitalization
Operations
Discounting
Operations
Economic Laws:
Arbitrage Principle
Efficient Market
model
Complete Market
Model
Asset Pricing
Theorems
Modeling
Black&Scholes
Heston
Energy Market Model
Lucia and Schwartz
Greeks and
Hedging
Analytical method
MonteCarlo method
1 Financial Theory
Postulate of yield of money over the time
Capitalization Operations
Discounting Operations
Economic Laws: Arbitrage Principle
Efficient Market model
Complete Market Model
Asset Pricing Theorems
2 Modeling
Black&Scholes
Heston
Energy Market Model
Lucia and Schwartz
3 Greeks and Hedging
Analytical method
MonteCarlo method
Mario Dell’Era (Quantitative Risk Analyst) Financial Products and Structures E-QuanT Bootcamp 2014 1 / 42

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E-QuanT(FinancialTheory)

  • 1. Financial Products and Structures Mario Dell’Era Financial Theory Postulate of yield of money over the time Capitalization Operations Discounting Operations Economic Laws: Arbitrage Principle Efficient Market model Complete Market Model Asset Pricing Theorems Modeling Black&Scholes Heston Energy Market Model Lucia and Schwartz Greeks and Hedging Analytical method MonteCarlo method Mario Dell’Era Quantitative Risk Analyst E-QuanT bootcamp 2014 at IMT in Lucca(IT) 13-17 October 2014 Mario Dell’Era (Quantitative Risk Analyst) Financial Products and Structures E-QuanT Bootcamp 2014 0 / 42
  • 2. Financial Products and Structures Mario Dell’Era Financial Theory Postulate of yield of money over the time Capitalization Operations Discounting Operations Economic Laws: Arbitrage Principle Efficient Market model Complete Market Model Asset Pricing Theorems Modeling Black&Scholes Heston Energy Market Model Lucia and Schwartz Greeks and Hedging Analytical method MonteCarlo method Financial Products and Structures Financial Theory and Modeling Mario Dell’Era Analyst at IntesaSanpaolo and External Professor at Pisa University m.dellera@be-tse.it Quantitative Risk Analyst E-QuanT bootcamp 2014 Mario Dell’Era (Quantitative Risk Analyst) Financial Products and Structures E-QuanT Bootcamp 2014 1 / 42
  • 3. Financial Products and Structures Mario Dell’Era Financial Theory Postulate of yield of money over the time Capitalization Operations Discounting Operations Economic Laws: Arbitrage Principle Efficient Market model Complete Market Model Asset Pricing Theorems Modeling Black&Scholes Heston Energy Market Model Lucia and Schwartz Greeks and Hedging Analytical method MonteCarlo method 1 Financial Theory Postulate of yield of money over the time Capitalization Operations Discounting Operations Economic Laws: Arbitrage Principle Efficient Market model Complete Market Model Asset Pricing Theorems 2 Modeling Black&Scholes Heston Energy Market Model Lucia and Schwartz 3 Greeks and Hedging Analytical method MonteCarlo method Mario Dell’Era (Quantitative Risk Analyst) Financial Products and Structures E-QuanT Bootcamp 2014 1 / 42