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 options and futures. 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
- 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
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 for Derivatives in the Finance Department at Goethe University. 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. 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.
Sat., Nov. 21, 2020
Sat., Dec. 05, 2020
Fri., Dec. 18, 2020
Sat., Dec. 19, 2020
Fri., Jan. 08, 2021
Sat., Jan. 09, 2021
Sat., Jan. 23, 2021