Derivatives and Financial Engineering

Derivatives and Financial Engineering is concerned with the valuation of derivative securities like options and futures and their use in investment and hedging strategies. In particular, we will discuss the binomial model and the Black-Scholes model for option valuation. The students will acquire practical experience with models via the use of spreadsheets.

Contact

Ludmila Ketterer

Senior Manager -
Degree & Corporate Programs
+49 69 798 33512
E-Mail

Learning objectives

Upon completion of this course, you will be able to:

  • Apply the principle of replication to price derivatives and structures products
  • Value simple derivatives in binomial models
  • Set up hedge positions with derivatives to manage risks
  • Design simple arbitrage trades based on derivatives mispricing
  • Use derivatives to structure cash flows in an optimal fashion

Key concepts

    • Option valuation in the binomial model
    • Black-Scholes model
    • Hedging and greeks
    • Exotic options
    • Implied volatility

    Course format

    This course is offered in the part-time Master in Finance program and may be attended on a “no credit” basis by individuals not enrolled in the program. Course participants are visitors who are not responsible for assignments and do not take an exam or earn academic credits. As the number of seats in the course is limited, we recommend to register online early.

    Key Facts

    Course materials
    Course materials except books will be provided in electronic form.

    Language
    English

    Course fee*
    € 1.900 (fee is exempt from VAT). Goethe Business School students and alumni receive a 20% discount off the regular fee.

    Certificate of participation
    A GBS certificate of participation is awarded upon completion of the course.

    Venue
    House of Finance, Goethe University, Theodor-W.-Adorno-Platz 3, 60323 Frankfurt

    *Withdrawal and fee refund

    In case the course withdrawal request is received two weeks prior to the start of classes, we will retain a withdrawal fee of EUR 50. In case the course withdrawal request is received less than two weeks prior to the start of classes, we will retain 50% of the payment made.

    Christian Schlag is Professor of Finance in the Finance department at Goethe University and Director of the Finance PhD program. His research explores a variety of topics in finance including the valuation of derivative securities, portfolio choice, and asset pricing. Prof. Schlag coauthored scholarly articles on these subjects, which have been published in journals such as Journal of Financial and Quantitative Analysis, Review of Finance, Journal of Banking and Finance, and Journal of Derivatives. Prof. Schlag is a member of the review board for economics and business administration at Deutsche Forschungsgemeinschaft (DFG). He is also a member of several academic associations like the American and the European Finance Association and a frequent visitor at European and American universities.

    Course schedule

    DateSessions

    Fri., Dec. 1, 2017

    12:00-14:00, 14:30-16:30

    Sat., Dec. 2, 2017

    14:30-16:30

    Fri., Dec. 15, 2017

    13:00-15:00, 15:30-17:30

    Sat., Dec. 16, 2017

    14:30-16:30

    Fri., Jan. 12, 2018

    18:00-20:00

    Sat., Jan. 13, 2018

    09:00-11:00, 11:30-13:30

    Fri., Jan. 19, 2018

    18:00-20:00

    Sat., Jan. 20, 2018

    09:00-11:00, 11:30-13:30
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