Semester:SS 18
Type:Lecture
Scheduled in semester:2
Semester Hours per Week / Contact Hours:42.0 L / 31.5 h
Self-directed study time:118.5 h
Type:Lecture
Scheduled in semester:2
Semester Hours per Week / Contact Hours:42.0 L / 31.5 h
Self-directed study time:118.5 h
Module coordination/Lecturers
- Dr. oec. HSG Roger Rechsteiner
(Modulleitung)
- Assoz. Prof. Dr. Martin Angerer
(Interner Dozent)
- Ass.-Prof. Dr. Sebastian Stöckl
(Interner Dozent)
Curricula
Master's degree programme in Finance (01.09.2015)Description
- Derivatives Markets and Instruments: Forwards, Futures, Options, Swaps, Exotics, Credit Derivatives
- Pricing of Equity, Fixed Income, Currency, Commodity, and Credit Derivatives
- Hedging Using Derivatives
- Financial Engineering
Lecture Goals
After completing this lectures, students know about the risks associated with financial derivatives as well as their potential for applications in risk management and financial engineering.
Learning Outcomes
- Know how derivatives and derivatives markets work
- Price financial derivatives
- Use Greek variables in risk management and financial engineering
- Devise and/or analyze derivatives strategies for speculation, hedging and arbitrage
- Combine basic instruments to achieve desired payoff structures/decompose payoff structures into their basic components
Qualifications
Lectures Method
Interactive lectures with exercises
Admission Requirements
It is recommended to have successfully completed the module Financial Economics and Markets before enrolling in the course Financial Derivatives.
Literature
- Hull, J. C. (2011). Options, futures and other derivatives (8th global ed.). Harlow: Pearson.
Materials
Slides will be available via moodle.
Exam Modalities
Written exam (90 minutes)
Assessment
Grading will be based entirely on the final exam.
Dates
Datum | Zeit | Raum |
23.02.2018 | 10:45 - 12:15 | H3 |
01.03.2018 | 09:00 - 12:15 | H4 |
15.03.2018 | 09:00 - 12:15 | H4 |
22.03.2018 | 09:00 - 12:15 | H4 |
19.04.2018 | 09:00 - 12:15 | H4 |
24.04.2018 | 13:15 - 16:30 | H4 |
03.05.2018 | 09:00 - 12:15 | H4 |
08.05.2018 | 13:15 - 16:30 | H4 |
17.05.2018 | 09:00 - 12:15 | H4 |
24.05.2018 | 09:00 - 12:15 | H4 |
29.05.2018 | 13:15 - 16:30 | H4 |
Exams
- PWW-MA_Financial Derivatives (SS 18, bewertet)
- PWW-MA_Financial Derivatives (Retake) (WS 18/19, bewertet)