Derivatives I (WiSe 2026/27)
Course Number
046246
Field(s) of Study
Master
University Calendar
Type
Lecture
Course Language
englisch
Course schedule
| Day | Time | Frequency | Date | Room |
|---|---|---|---|---|
| Monday | 08:00- 10:00 | weekly | 30.11.2026- 01.02.2027 | Juridicum, JUR 2 |
| Wednesday | 12:00- 14:00 | weekly | 02.12.2026- 03.02.2027 | Schlossplatz 46, H 3 |
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
- Dr. Jan Harren (responsible)