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Option Pricing
Option Pricing



From the beginning of the 70s the use of derivatives has seen a notable increase in terms of quantity treated and complexity of tools. Derivatives are financial tools whose value depends on the value of other financial assets.

Futures, forwards, swaps and options are commonly used by firms of all dimensions, by financial institutions and public organizations to manage the fluctuation risks of interest rates, exchange rates, prices of other financial assets (stocks, indexes) or commodities (oil, electricity, wheat, copper).

The evaluation and the correct use of such tools in the framework of portfolio risk management often asks for the knowledge of complex mathematical and statistical techniques that are able to guarantee operational feasibility and flexibility of applications.

GRETA has the theoretical and practical competences in this sector needed to provide a methodological support for the implementation of models of pricing and hedging of derivatives. Particularly:


from an operational point of view, the activity of GRETA is carried out in support of the development of prototypes (through the use of statistical packages or spreadsheets) of models of evaluation for rated products integrating, where there is the opportunity, the knowledge and the experience of the client;



from a methodological point of view, GRETA’s activity comprises training programs related to the subjects of interest for both the academic world and the financial sector.



About GRETA Research Areas Products&Services

What we do
Principal clients
How to reach

Risk Management
Systemic Risk
Asset Allocation
Financial Portfolio Analysis & Evaluation
Option Pricing
Scenario Analysis
Statistical Research

Monthly Econometric Financial International Model - MEFIM
Econometric Financial Regional Model - MEFR
Global Asset Model - GAM
GRETA Pension Fund Performance - GRETA-PFP
GRETA Regional Econometric Model - GREM

Events Pubblications  
Sovereign Bond Markets Conferences
CREDIT Conferences
JAE 2005

Recent pubblications
Old GRETA Working Papers

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