Derivatives are financial products whose value depends on the price of other financial products (e.g. stocks, bonds, interest rates, foreign exchange rates or commodities). This course provides an introduction to standard derivatives like forwards, swaps, and options. It will cover basic valuation principles as well as standard valuation models. The focus of this course is on the practical implementation and calibration of these models.
Upon completion of this course, you will be able to:
- Understand the key terminology and products in derivative markets
- Design no-arbitrage trades and replication strategies
- Implement simple numerical pricing models (binomial tree or simulation)
- Apply the Black/Scholes option pricing formula
- Identify relevant data to calibrate pricing models in practice
Any questions?
Products and their properties: forwards and futures, call and put options, forward rates, floating rate notes, swaps, payoff diagrams, Greeks
Valuation concepts: no-arbitrage, law of one price, cost-of-carry, convenience yield, replication, risk-neutral valuation, delta hedging, implied volatility
Implementations: binomial tree (Cox/Ross/Rubinstein model), Black/Scholes/Merton model, Monte Carlo simulation
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.
Prof. Dr. Marc Crummenerl
Marc Crummenerl is Professor of Finance at the Berlin School of Economics and Law. He studied Business Administration and Japanese at the University of Mannheim. Prior to earning his Doctorate at the University of Tübingen, he worked for several years as a Management Consultant at McKinsey and Company, Inc. in the Financial Institutions and Risk Management practices. Before joining the School for Economics and Law in Berlin, Marc worked as an EUREX Assistant Professor for Derivatives at the Finance Department at Goethe University. His research covers a wide area of topics from risk management of financial institution over structural models in corporate finance to the analysis of risk premia in the stock markets. During his academic career, he also spent several semesters abroad at the University of Michigan and New York University.
Course materials
Course materials will be provided in electronic form.
Language
English
Venue
On Campus Westend of Goethe University Frankfurt.
Certificate of participation
A GBS certificate of participation is awarded upon completion of the course.
Course Fee
€ 1,900 (fee is exempt from VAT). The fee for GBS students or alumni amounts to € 800.
| Date | Session |
|---|---|
| Sat., October 5, 2024 | 09:00-11:00, 11:30-13:30, 14:30-16:30 |
| Sat., October 19, 2024 | 09:00-11:00, 11:30-13:30, 14:30-16:30 |
| Sat., November 2, 2024 | 09:00-11:00, 11:30-13:30, 14:30-16:30 |
| Fri., November 16, 2024 | 13:00 - 15:00, 15:30-17:30, 18:00-20:00 |
Further Information
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