Equity and Foreign Exchange Derivatives

Lehrinhalte

Relevant statistical concepts (log normal distribution, introduction to probability space, etc.); Modelling stock prices as Geometric Brownian Motion (GBM); Pricing European Options using binomial trees; Risk neutral probability; Black-Scholes equation for pricing Call Options; Black-Scholes equation and Greeks; Derivatives as Hedging Instrument; American and Exotic Options; Numerical methods for pricing derivatives

Art der Vermittlung

Präsenzveranstaltung

Art der Veranstaltung

Pflichtfach

Empfohlene Fachliteratur

Hull, J., 2018, Options, futures, and other derivatives, 9th ed., Pearson; Benninga, S., 2014, Financial modelling: uses Excel, 4th ed., MIT Press

Lern- und Lehrmethode

Interactive teaching (lecture and discussion), solving exercises with pencil and calculator as well as with MS Excel during the course, quizzes.

Prüfungsmethode

The course assessment is based on 2 assignments (10 points each), 5 points for quizzes and in-class contributions, 5 points for group presentations and 70 points for the final exam.

Voraussetzungen laut Lehrplan

Courses in quantitative methods

Schnellinfos

Studiengang

Quantitative Asset and Risk Management (Master)

Akademischer Grad

Master

ECTS Credits

2.00

Unterrichtssprache

Englisch

Studienplan

Berufsbegleitend

Studienjahr, in dem die Lerneinheit angeboten wird

2024

Semester in dem die Lehrveranstaltung angeboten wird

1 WS

Incoming

Lernergebnisse der Lehrveranstaltung

After accomplishment of the course students are able to categorize and describe different types of derivatives (forwards, futures and options) and apply different mathematical models to calculate prices for them. They can explain the binomial model and its extension in continuous time to the Black-Sholes model. Furthermore, they are able to demonstrate critical thinking and analytical problem-solving skills to reflect on the viability of the models in real world markets and to integrate derivatives into an investment approach, e.g. for hedging purposes.

Kennzahl der Lehrveranstaltung

0613-09-01-BB-EN-07