Derivatives and Financial Engineering
Derivatives and Financial Engineering is concerned with the valuation of derivative securities like options and futures and their use in investment and hedging strategies. In particular, we will discuss the binomial model and the Black-Scholes model for option valuation. The students will acquire practical experience with models via the use of spreadsheets.
Upon completion of this course, you will be able to:
- Apply the principle of replication to price derivatives and structures products
- Value simple derivatives in binomial models
- Set up hedge positions with derivatives to manage risks
- Design simple arbitrage trades based on derivatives mispricing
- Use derivatives to structure cash flows in an optimal fashion
- Option valuation in the binomial model
- Black-Scholes model
- Hedging and greeks
- Exotic options
- Implied volatility
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.
Christian Schlag is Professor of Finance in the Finance department at Goethe University and Director of the Finance PhD program. His research explores a variety of topics in finance including the valuation of derivative securities, portfolio choice, and asset pricing. Prof. Schlag coauthored scholarly articles on these subjects, which have been published in journals such as Journal of Financial and Quantitative Analysis, Review of Finance, Journal of Banking and Finance, and Journal of Derivatives. Prof. Schlag is a member of the review board for economics and business administration at Deutsche Forschungsgemeinschaft (DFG). He is also a member of several academic associations like the American and the European Finance Association and a frequent visitor at European and American universities.
Course schedule 2018/2019
Sat., November 24, 2018
Fri., December 7, 2018
Sat., December 8, 2018
Fri., December 14, 2018
Sat., December 15, 2018
Fri., January 11, 2019
Sat., January 12, 2019
Fri., January 25, 2019