Derivatives and 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 providesan introduction to standard derivatives like options and futures. It will cover basic valuationprinciples as well as standard valuation models. The focus of this course is on the practicalimplementation and calibration of these models.

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: forwards and futures, call and put options, payoff diagrams
  • Valuation concepts: no-arbitrage, cost-of-carry, replication, risk-neutral valuation
  • Implementations: binomial tree (Cox/Ross/Rubinstein model), Black/Scholes model,
  • Monte Carlo simulation
  • Option properties: Greeks, delta hedging, implied volatility

Course format

This course is offered in the part-time Master in Finance program and may be attended on a “nocredit” basis by individuals not enrolled in the program. Course participants are visitors whoare not responsible for assignments and do not take an exam. As the number of seats in thecourse is limited, we recommend to register online early.

Marc Crummenerl holds the position as EUREX Assistant Professor forDerivatives in the Finance Department at Goethe University. He studiedBusiness Administration and Japanese at the University of Mannheim.Prior to earning his Doctorate at the University of Tübingen, he workedfor several years as a Management Consultant at McKinsey andCompany, Inc. in the Financial Institutions and Risk Managementpractices. His research covers a wide area of topics from riskmanagement of financial institution over structural models in corporatefinance to the analysis of risk premia in the stock markets. During hisacademic career, he also spent several semesters abroad at the University of Michigan and theNew York University.

Contact

Ludmila Ketterer

Senior Manager -
Master in Finance & Corporate Programs
+49 69 798 33512
E-Mail

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 University students and alumni receive a 20% discount off the regular fee.

 

Certificate of participation
A Goethe Business School 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.

Course Schedule

DateSessions

Sat., Nov. 30, 2019

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

Fri., Dec. 13, 2019

15:30-17:30

Sat., Dec. 14, 2019

09:00-11:00

Fri., Jan. 10, 2020

18:00-20:00

Sat., Jan. 11, 2020

11:30-13:30, 14:30-16:30

Fri., Jan. 17, 2020

16:45-18:45

Sat., Jan. 18, 2020

11:30-13:30, 14:30-16:30

Sat., Feb. 1, 2020

15:30-17:30, 18:00-20:00
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