This module provides an introduction to financial derivatives, instruments whose value is derived from the prices of underlying financial assets, such as stocks, bonds, interest rates, foreign exchange rates, or commodities. It covers standard derivatives, including forwards and options, and introduces their basic valuation principles and standard valuation models. The course further addresses practical implementation and calibration of these models. Key concepts include products such as forwards, futures, options, swaps, payoff diagrams, and Greeks; valuation concepts such as no-arbitrage, law of one price, replication, risk-neutral valuation, and implied volatility; and implementation methods including binomial trees (Cox-Ross-Rubinstein), the Black-Scholes-Merton model, etc.
- 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/Merton option pricing formula
- Identify relevant data to calibrate pricing models in practice
This course is part of the prestigious part-time Master in Finance program, conducted in English on Fridays and Saturdays on Campus Westend. It offers a valuable opportunity to network and gain expertise without committing to a full degree program. Upon completion, participants receive a Certificate of Participation. As the number of seats is limited, we recommend to register early. If you're a GBS or Goethe University alum, explore our attractive alumni discount options.
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Prof. Dr. Marc Crummenerl
Prof. Dr. Marc Crummenerl is Professor of Finance at the Berlin School of Economics and Law. Before earning his doctorate from the University of Tübingen, he worked as a management consultant at McKinsey & Company in the Financial Institutions and Risk Management practices. He previously served as EUREX Assistant Professor for Derivatives at Goethe University Frankfurt. His research focuses on risk management, corporate finance, and risk premia in stock markets. He has also spent several semesters abroad at the University of Michigan and New York University.