22-30.102 Derivatives: Pricing and Hedging

Course offering details
Instructors: Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
Event type:
Interactive class
Displayed in timetable as:
Hours per week:
3
Credits:
6,0
Language of instruction:
English
Min. | Max. participants:
- | 45
Comments/contents: The course deals with options, futures contracts and other derivatives financial instruments. Firstly, the basics of forward and future contracts as well as their valuation by using the No-Arbitrage Principle are revised. This is followed by a short presentation of options and their valuation using the binomial model.

The focus is directed on the analysis of the Black-Scholes-Model for valuation of share options. In particular, the Black-Scholes-formula for valuing a call-option will be derived. For this purpose, the necessary knowledge of the Wiener process and stochastic integration is built up.

The sensitivities, the so-called Greeks, related to the pricing formulas, according to Black-Scholes, are discussed and their application in risk management is shown. Afterwards options on currencies, commodities and futures are discussed and invest rate derivatives and credit derivatives are introduced. Numerical valuation methods as for instance Monte-Carlo simulation are briefly discussed.
Learning objectives: On completion of this course, you should be able to:

  • value derivative contracts like futures, forwards and for deriving option price bounds using the no-arbitrage principle;
  • detect arbitrage opportunities
  • apply risk-neutral valuation as a generic methodology for various setups including pricing of standard options (calls and puts), and exotic options
  • grasp the derivation of the Black-Scholes option pricing model based on Brownian motion and Ito calculus
  • hedge and manage option portfolios utilizing the Black-Scholes Greeks (sensitivities of the option price)


 
Literature: John C. Hull, Options, Futures, and Other Derivatives (8th Ed.), Pearson
Additional examination information: Written examination
Class session overview
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Instructors
Aidin Miri Lavasani
Prof. Dr. Alexander Szimayer
Appointments
Date From To Room Instructors Appointments
1
Date Tue, 3. Apr. 2018
To 16:00
To 18:00
Room WiWi 2101/2105
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
2
Date Tue, 10. Apr. 2018
To 16:00
To 18:00
Room WiWi 2101/2105
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
3
Date Wed, 11. Apr. 2018
To 11:00
To 12:00
Room WiWi 2095/2197
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
4
Date Tue, 17. Apr. 2018
To 16:00
To 18:00
Room WiWi 2101/2105
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
5
Date Wed, 18. Apr. 2018
To 11:00
To 12:00
Room WiWi 2095/2197
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
6
Date Tue, 24. Apr. 2018
To 16:00
To 18:00
Room WiWi 2101/2105
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
7
Date Wed, 25. Apr. 2018
To 11:00
To 12:00
Room WiWi 2095/2197
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
8
Date Wed, 2. May 2018
To 11:00
To 12:00
Room WiWi 2095/2197
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
9
Date Tue, 8. May 2018
To 16:00
To 18:00
Room WiWi 2101/2105
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
10
Date Wed, 9. May 2018
To 11:00
To 12:00
Room WiWi 2095/2197
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
11
Date Tue, 15. May 2018
To 16:00
To 18:00
Room WiWi 2101/2105
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
12
Date Wed, 16. May 2018
To 11:00
To 12:00
Room WiWi 2095/2197
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
13
Date Tue, 29. May 2018
To 16:00
To 18:00
Room WiWi 2101/2105
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
14
Date Wed, 30. May 2018
To 11:00
To 12:00
Room WiWi 2095/2197
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
15
Date Tue, 5. Jun. 2018
To 16:00
To 18:00
Room WiWi 2101/2105
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
16
Date Wed, 6. Jun. 2018
To 11:00
To 12:00
Room WiWi 2095/2197
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
17
Date Tue, 12. Jun. 2018
To 16:00
To 18:00
Room WiWi 2101/2105
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
18
Date Wed, 13. Jun. 2018
To 11:00
To 12:00
Room WiWi 2095/2197
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
19
Date Tue, 19. Jun. 2018
To 16:00
To 18:00
Room WiWi 2101/2105
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
20
Date Wed, 20. Jun. 2018
To 11:00
To 12:00
Room WiWi 2095/2197
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
21
Date Tue, 26. Jun. 2018
To 16:00
To 18:00
Room WiWi 2101/2105
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
22
Date Wed, 27. Jun. 2018
To 11:00
To 12:00
Room WiWi 2095/2197
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
23
Date Tue, 3. Jul. 2018
To 16:00
To 18:00
Room WiWi 2101/2105
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
24
Date Wed, 4. Jul. 2018
To 11:00
To 12:00
Room WiWi 2095/2197
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
25
Date Tue, 10. Jul. 2018
To 16:00
To 18:00
Room WiWi 2101/2105
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
26
Date Wed, 11. Jul. 2018
To 11:00
To 12:00
Room WiWi 2095/2197
Instructors Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer
Exams in context of modules
Module(start semester)/ Course Requirement combination Exam Date Instructors Compulsory pass
22-3.E46 Derivates: Pricing and Hedging (SoSe 18) / 22-3.e46 Derivatives: Pricing and Hedging Written examination 1 Written examination Wed, 25. Jul. 2018, 12:15 - 13:45 Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer Yes
2 Written examination Tue, 25. Sep. 2018, 14:15 - 15:45 Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer Yes
22-3.E46 Derivates: Pricing and Hedging (SuSe 17) / 22-3.e46 Derivatives: Pricing and Hedging Written examination 3 Written examination Wed, 25. Jul. 2018, 12:15 - 13:45 Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer Yes
4 Written examination Tue, 25. Sep. 2018, 14:15 - 15:45 Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer Yes
Econ_E46 Derivatives: Pricing and Hedging (SuSe 15) / 22-3.e46 Derivatives: Pricing and Hedging written or oral examination 7 Written examination Wed, 25. Jul. 2018, 12:15 - 13:45 Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer Yes
8 Written examination Tue, 25. Sep. 2018, 14:15 - 15:45 Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer Yes
Econ_E46 Derivatives: Pricing and Hedging (SuSe 16) / 22-3.e46 Derivatives: Pricing and Hedging written or oral examination 5 Written examination Wed, 25. Jul. 2018, 12:15 - 13:45 Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer Yes
6 Written examination Tue, 25. Sep. 2018, 14:15 - 15:45 Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer Yes
Course specific exams
Description Date Instructors Mandatory
1. Written examination Wed, 25. Jul. 2018 12:15-13:45 Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer Yes
2. Written examination Tue, 25. Sep. 2018 14:15-15:45 Aidin Miri Lavasani; Prof. Dr. Alexander Szimayer Yes