Executive Education

DERIVATIVES & FINANCIAL ENGINEERING

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.

Contact

Ludmila Ketterer

 +49 69 798 33512

 E-Mail

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.

Learning
Objectives

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

Key
Concepts

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

Faculty

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.

Key Facts

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.

*Withdrawal and fee refund
In case the course withdrawal request is received two weeks prior to the start of classes, GBS will retain a withdrawal fee of €50. In case the course withdrawal request is received less than two weeks prior to the start of classes, GBS will retain 50% of the payment made.

Course Schedule
Date Session
Fri., Sep 30, 2022 17:00-19:00
Sat., Oct 01, 2022 11:30-13:30, 14:30-16:30
Fri., Oct 14, 2022 15:30-17:30, 18:00-20:00
Sat., Oct 15, 2022 09:00-11:00, 11:30-13:30
Fri., Oct 28, 2022 18:00-20:00
Sat., Oct 29, 2022 11:30-13:30, 14:30-16:30
Fri., Nov 11, 2022 18:00-20:00
Sat., Nov 12, 2022 09:00-11:00
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There are two main things which make returning for Open Programs such a valuable and worthwhile experience. The first is being back on campus – meeting the current students, returning to campus again, the whole experience was just so pleasant. The second is the level of quality in the courses – the faculty teaching are absolute experts.

Stephan KieneDuke-Goethe Executive MBA Class of 2009

PROGRAM REGISTRATION

This Open Program will be offered in the Winter semester 2022/23
Registration will be possible soon.

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