Derivative Securities

This course is offered during the winter term.

Lecture Derivative Securities (22 432)

Prof. Dr. Daniel Rösch

Wednesday 12 - 14h

Start: October 18, 2023

Room: H 4

Tutorial Derivative Securities (22 433)

Igor Honig, M.Sc.

Thursday 16 - 18h

Start: October 19, 2023

Room: H 4

Contents

• Risk-neutral valuation, absence of arbitrage and martingales
• Stochastic processes and stochastic differential equations
• Valuation of forwards and futures
• Valuation of swaps
• Valuation of options
• Hedging, greeks, volatilities and volatility smiles
• Numerical methods in derivatives pricing
• Extensions and alternatives to the Black–Scholes–Merton framework
• Introduction to credit risk
• Valuation of Credit Default Swaps
• Valuation of Basket Default Swaps
• Valuation of securitizations and structured credit products
• Case studies

Results of past exams

Further Information

• The whole course will be taught in English.
• Course materials will be made available via GRIPS.
• Course registrationis is via SPUR.

Detailed course description: German, English