Universität Wien FIND

040099 KU Options and Derivatives (MA) (2019W)

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Prüfungsimmanente Lehrveranstaltung

An/Abmeldung

Details

max. 50 Teilnehmer*innen
Sprache: Englisch

Lehrende

Termine (iCal) - nächster Termin ist mit N markiert

Mittwoch 09.10. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
Mittwoch 16.10. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
Mittwoch 06.11. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
Mittwoch 13.11. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
Mittwoch 20.11. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
Mittwoch 27.11. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
Mittwoch 04.12. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
Mittwoch 11.12. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
Mittwoch 08.01. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
Mittwoch 15.01. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
Mittwoch 22.01. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
Mittwoch 29.01. 09:45 - 13:00 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock

Information

Ziele, Inhalte und Methode der Lehrveranstaltung

This course aims to provide an overview of financial derivatives, as well as the methods used in their pricing, hedging, and risk assessment. Besides learning theory, the students will also be asked to implement Monte Carlo methods in basic coding exercises.

The course covers the following topics:
- Stochastic processes, Brownian motion and Itô calculus
- Futures, forwards, European options and put-call parity
- Delta hedging and binomial option pricing
- The Black-Scholes formula
- Implied volatility, the smile
- The yield curve, interest rate derivatives and interest rate models
- Dependent upon time: exotic derivatives, stochastic volatility models, other...

Art der Leistungskontrolle und erlaubte Hilfsmittel

Mid-term exam: 30%
Final exam: 40%
Coding exercises: 30%

The mid-term exam covers all the class material up to the point of the exam
The final exam covers the material of the entire class
The coding exercises can be done in groups (group size TBD) and will have to be handed in the form of Matlab code and a short report. The code needs to be well-commented. The report is to evaluate the results of the programme and explain the workings of the code.

Mindestanforderungen und Beurteilungsmaßstab

Before starting the course, students should be familiar with some probability theory and calculus. Some coding will be required, but not taught explicitly. For those who have no experience coding, this course will provide an opportunity for them to teach themselves the basics.

Prüfungsstoff

See above

Literatur

John C. Hull, Options, Futures, and other Derivatives, 8th edition
J. Michael Steele, Stochastic Calculus and Financial Applications
Class notes

Zuordnung im Vorlesungsverzeichnis

Letzte Änderung: Mi 09.10.2019 17:07