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Valuation in Derivative Markets


Registration deadline: 1 October 2019

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  • General description

    Derivatives are a fundamental tool for managing risk exposures, including both hedging and speculation. More broadly, the language and concepts related to derivatives touch almost every topic in finance.

    This course provides an analytical overview of futures, options, swaps and other derivatives. We will discuss how derivatives are constructed and deployed to solve particular problems, as well as the underlying pricing methodologies. We will pay special attention to the role of the risk premium in pricing. We will also discuss how derivatives fit into the current regulatory environment.

  • Topics covered

    • Review of futures and option basics
    • Basic structures, including insurance, collars, convertibles, and reverse convertibles
    • Exotic options
    • The lognormal model and Monte Carlo valuation
    • Pricing of long-term risks
    • Regulatory reforms relating to derivatives in the US and Europe

  • Meet the instructors

    Robert McDonald is Gaylord Freeman Distinguished Chair in Banking and Professor of Finance at the Kellogg School of Management, Northwestern University. His research interests include derivatives and corporate finance and his published work includes early work on real options. He is the author of Derivatives Markets, a leading text now in its third edition, and the R package derivmkts. Professor McDonald has been an editor of the Review of Financial Studies and Associate Editor of the Journal of Finance, Management Science, and the Journal of Financial and Quantitative Analysis. He is also a past director of the American Finance Association and Eris Exchange and formerly Senior Associate Dean for Faculty and Research at Kellogg. He has a BA from the University of North Carolina and a PhD in economics from MIT

    Fabrizio Planta is currently acting as Head of Markets Department at ESMA and head of the Post-Trading Unit. He is responsible for the development of technical standards under EMIR and CSDR and on several CCP related manners, such as CCP colleges, stress tests, peer reviews, validation of risk models and recognition of third country CCPs. Before joining ESMA, Fabrizio worked at the EU Commission on the EMIR proposal and before at CONSOB and at IW Bank S.p.A. He holds an MSc in Economics from Warwick University and a degree in Economics.

  • How the course will work

    Total course length: 15 hours.

    The course will feature practical sessions conducted in R and RStudio. All participants are required to bring their laptops with this software installed.

    A certificate of attendance will be provided to all participants after the course.

  • Fees

    1750€ – Public Authorities (e.g. National Competent Authorities, Central Banks and European Institutions).

    1900€ – Private Sector.

    950€ – Academics (Full-time Professors, full-time PhD Students and full-time Research Associates). Please submit a certificate attesting your status of Professor, PhD Student or Research Associate to fbf@eui.eu before registering. FBF secretariat will provide you with a code to register.

    The course fee covers coffee and lunch breaks. Travel and hotel costs are not included.

    Please note that the payment must be settled two weeks before the start of the course.


    In case of registration of 3 participants from the same organisation, the course fees for each participant are the following:
    • Private Sector: € 1270
    • Public Authorities: € 1170

    To benefit from the deal, the names of the 3 participants have to be communicated to fbf@eui.eu before registering. We cannot communicate the names of other registered people from the same institution (it is upon your responsibility to get in touch with your HR division). FBF secretariat will provide the 3 participants with a code to use to register and benefit from the group deal.

    Special deals apply for larger groups.


    • In case a course is cancelled, registered participants will receive the full refund.
    • In case a course is moved to another date, registered participants may request a voucher to attend another FBF course.
    • Registered participants who have not yet paid the registration fee can cancel their participation until one month before the start of the course.
    • The registration fee is non-refundable, however it will be possible to transfer registration to another person or request a voucher for another FBF course up to 20 days before the start date of the course.

    For more details, please contact fbf@eui.eu
  • Prerequisites

    BA/MA degree in economics, finance, statistics or similar, or commensurate professional qualifications and/or experience.

    An understanding of basic probability and statistics an and introductory knowledge of derivatives (what are futures, swaps, and options?) is required to follow the course.

    Participants are required to bring their laptops with the software R and RStudio installed, along with packages that will be specified closer to the course.

  • Practical information


    Please notice that the course dinner, and most of the social activities, will take place downtown.

    Recommended hotels nearby the EUI:

    Recommended hotels in downtown Florence:

    Suggested restaurants in Florence city centre


    On arrival, participants will be provided with temporary wi-fi access for the whole duration of the course.

    Privacy Notice

    The personal information you have provided will be processed in compliance with the EUI Privacy Statement for conferences. For general queries: fbf@eui.eu


    General information on local transport

    From Florence airport:

    Florence airport is located 8 km from the city centre, approximately 30 minutes by taxi or bus. Taxis can be found outside the arrivals terminal; no reservation is needed. A taxi ride from the airport costs about €20 and takes approximately 25/30 minutes.

    A tramway (line T2) connects the airport to the city centre. Trains leave from the airport terminal and take 20 minutes to the main railway station. One-way tickets can be bought from vending machines for €1.50.

    The airport is also connected to the main railway station in Florence by a shuttle bus (‘Vola in bus’) that leaves every 30 minutes (on the hour and on the half-hour) and takes 25 minutes. Tickets are available on board for €6.00.

    From the central railway station:

    Take bus n. 7 at the bus stop Stazione Nazionale in the direction “Fiesole Piazza Mino”, get off at the stop ‘San Domenico 01’. For bus routes and timetables consult the official timetable.

    Bus tickets are sold outside the railway station, at ATAF ticket kiosks and vending machines, tobacconists (tabacchi), newspaper kiosks (edicole), and most cafes (bar). They must be bought before boarding and stamped using the machine on the bus. A ticket costs €1.50 and it is valid for 90 minutes. Bus tickets can be purchased also on board (€ 2.50), but the driver is not obliged to give change.

    Private car

    From the A1 Milano-Napoli (Autostrada del Sole), take the Firenze Sud exit and follow directions to the city centre/Stadio. Follow the directions to the stadium (Stadio), then for Fiesole. San Domenico is on the main road to Fiesole.

    The EUI has several free parking areas available all over the Campus.

  • Course material

    Registered participants can access the course material at this link, using the password provided by the course secretariat.