Financial Derivatives - (F) - Q4

Participation Prerequisites

There are no formal prerequisites. Some basic knowledge in finance and investments, as well as in asset management is assumed.

Course Content

This course provides a comprehensive overview of financial derivatives, starting with an introduction to fundamental concepts. It then delves into option pricing, covering key models and methods, including Binomial Trees, Wiener Processes with Ito’s Lemma, and the Black-Scholes-Merton Model. Students will examine the Greek Letters and Volatility Smiles to understand risk management and sensitivities in derivative pricing. The course also explores securitization and credit derivatives, discussing their roles in financial markets. Topics on exotic options provide insight into more complex derivatives, while the final section on real options extends the application of derivative pricing to real-world investment decisions.

Intended Learning Outcomes and Competencies

At the end of the course students should (a) be familiar with most of the products that they are likely to encounter in financial markets and (b) understand how market risk and credit risk is quantified by banks and other financial institutions.

Instruction Type

Presence

Form of Examination

Literature

Recommended Readings:

Hull, John C. “Options, Futures, and Other Derivatives”

Rieger, Marc Oliver (ed), Optionen, Derivate, und Strukturierte Produkt: Ein Praxisbuch, NZZ Verlag 2016

McDonoald, Robert L. “Derivatives Markets”