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Root number
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446149 |
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Semester
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HS2024 |
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Type of course
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Lecture |
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Allocation to subject
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Business Administration |
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Type of exam
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Written exam |
| Title |
Derivatives |
| Description |
In 2017, a monthly average of 195 Wall Street Journal articles related to derivatives. Derivatives sometimes make headlines, AIG's losses on credit default swaps being one example among many. Not only does the use of derivatives represent a major part of financial markets' daily activity, but the pricing theory of derivatives is also a cornerstone of modern finance. Back in 1969, three researchers - Fisher Black, Myron Scholes, and Robert Merton - started working on option-pricing problems. Their work would change the way we think about risk and valuation. Thirty years later, Robert Merton and Myron Scholes won the Nobel Prize in Economics for their contribution to option pricing theory. The huge theoretical impact of option pricing theory and its practical significance make it one of the most exciting areas in finance.
This course helps to develop the relevant knowledge and understanding of derivatives for students aiming for a career in the investment field. The main thread running through this course is the use and pricing of derivatives contracts. The course focuses on three main types of such contracts: i) forwards and futures, ii) swaps, and iii) options. While the theoretical treatment of futures and swaps only involves Net Present Value computations, the pricing of options additionally calls for an underlying model; the course covers two such models, the Binomial model and its close relative, the Black-Scholes model.
Several important applications will be discussed, such as financial and commodity forwards and futures, interest rates derivatives, swaps, and risk management. |
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ILIAS-Link (Learning resource for course)
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No registration/deregistration in CTS (Admission in ILIAS possible).
ILIAS
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Link to another web site
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| Lecturers |
Prof. Dr.
Julien Cujean, Institute of Financial Management ✉
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ECTS
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6 |
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Recognition as optional course possible
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No |
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Grading
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1 to 6 |
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| Dates |
Monday 10:15-13:00 Weekly
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Thursday 9/1/2025 13:45-15:45
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Friday 14/2/2025 08:45-10:45
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| Rooms |
Seminarraum 107, Engehalde, E8
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| External rooms |
HG 106
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| Students please consult the detailed view for complete information on dates, rooms and planned podcasts. |
User:
Öffentlicher Bereich
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