Derivatives I (WS 2020/21)


Course Number
042158

Field(s) of Study
Master

University Calendar

Learnweb Platform

Type
Lecture

Course Language
englisch


Course schedule

Day Time Frequency Date Room
Monday 08:00- 10:00 weekly 14.12.2020- 08.02.2021  
Wednesday 12:00- 14:00 weekly 16.12.2020- 10.02.2021  

Notice

This class is taught in English. There will be a tutorial every two weeks (the first time on 11/08/2007).

Description

We consider the pricing and hedging of options in the models of Cox, Ross, Rubinstein and Black, Scholes. Further topics include the volatility smile, and numerical methods. Structure: 1. Options, futures, forwards 2. Binomial modell 3. Black-Scholes 4. Smile, alternatives to Black-Scholes 5. Risk management 6. Numerical methods 7. Exotic Options

Lecturers

  • Prof. Dr. Nicole Branger (responsible)