Equity and Foreign Exchange Derivatives

Brief description

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

Mode of delivery

face to face

Type

compulsory

Planned learning activities and teaching methods

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

Assessment methods and criteria

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.

Prerequisites and co-requisites

Courses in quantitative methods

Infos

Degree programme

Quantitative Asset and Risk Management (Master)

Cycle

Master

ECTS Credits

2.00

Language of instruction

English

Curriculum

Part-Time

Academic year

2023

Semester

1 WS

Incoming

Yes

Learning outcome

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.

Course code

0613-09-01-BB-EN-07

Equity and Foreign Exchange Derivatives