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.

Learning objectives

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

Key concepts

    • Option valuation in the binomial model
    • Black-Scholes model
    • Hedging and greeks
    • Exotic options
    • Implied volatility

    Course format

    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.


    Ludmila Ketterer

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

    Key Facts

    Course materials
    Course materials except books will be provided in electronic form.


    Course fee*
    € 1.900 (fee is exempt from VAT). Goethe Business School students and alumni receive a 20% discount off the regular fee.

    Certificate of participation
    A GBS certificate of participation is awarded upon completion of the course.

    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.

    Julia Kapraun is Assistant Professor of Finance in the Finance department at Goethe University.
    She studied Mathematics at Technische University Berlin and earned her Ph.D. degree in Finance at WHU – Otto  Beisheim School of Management. Her research explores a variety of topics in finance including the valuation of derivative securities, portfolio choice, behavioral finance and  asset  pricing. Julia Kapraun is a member of several academic associations like the German and the European Finance Association and a frequent participant in academic conferences.

    Course schedule 2018/2019


    Sat., November 24, 2018

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

    Fri., December 7, 2018


    Sat., December 8, 2018


    Fri., December 14, 2018


    Sat., December 15, 2018

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

    Fri., January 11, 2019


    Sat., January 12, 2019

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

    Fri., January 25, 2019

    Open Programs

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    Program Registration

    Register for "Derivatives and Financial Engineering"