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.
Candidates with an undergraduate degree (i.e., bachelor or equivalent) of 180 credit points (CP) based on the European Credit Transfer System (ECTS) can apply for our Open Programs. The allocation of credit points for work experience will appear on the Academic Transcript of Records and be titled ‘Prior Learning Assessment’.
Open Program applicants must submit a recent proof of English language proficiency at the higher B2 level per the Common European Framework of Reference (CEFR). The GBS Office of Admissions will accept test results of the following tests, taken no longer than two years ago upon the date of submission:
- TOEFL iBT®
- TOEFL iBT® Home Edition
- IELTS
- Cambridge Certificate of Proficiency in English
- English Language Level Test (ELLT) - Oxford International Digital Institute
Applicants may request a waiver of proof of proficiency in English in case one of the following conditions applies. The applicant
- is a native speaker of English;
- has graduated from an international baccalaureate program
- has completed their undergraduate or master-level studies in a program taught entirely in English;
- has worked in an English-speaking country for at least one year.
If the applicant has not taken any of the above tests when submitting the application, the applicant can upload a confirmation of the test registration to the online admissions portal.
Applicants who submit a language certificate older than two years but without an expiry date will be invited for an additional interview with a native speaker of English.
Proof of relevant post-undergraduate work experience of at least one year is to be submitted, e.g., a performance review, reference letter, or written confirmation from your employer.