Executive Education

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 forwards, swaps, and options. 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

Any questions?

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Ludmila Ketterer

 +49 69 798 33512

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Key Concepts

Products and their properties: forwards and futures, call and put options, forward rates, floating rate notes, swaps, payoff diagrams, Greeks

Valuation concepts: no-arbitrage, law of one price, cost-of-carry, convenience yield, replication, risk-neutral valuation, delta hedging, implied volatility

Implementations: binomial tree (Cox/Ross/Rubinstein model), Black/Scholes/Merton model, Monte Carlo simulation

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.

Faculty

Prof. Dr. Marc Crummenerl

Marc Crummenerl is Professor of Finance at the Berlin School of Economics and Law. 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. Before joining the School for Economics and Law in Berlin, Marc worked as an EUREX Assistant Professor for Derivatives at the Finance Department at Goethe University. 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.

Key Facts

Course materials

Course materials will be provided in electronic form.

Language

English

Venue

On Campus Westend of Goethe University Frankfurt.

Certificate of participation

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

Course Fee

€ 1,900 (fee is exempt from VAT). The fee for GBS students or alumni amounts to € 800.

Course Schedule
Date Session
Winter Semester 2024  

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