Universität Wien
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040085 VK KFK CF/FI/FM: Advanced FM/FI: Options and Derivatives (2015S)

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work

preliminary talk and beginning: Tuesday, 10th of March, 16.45 - 20.00 pm, HS 16, Oskar Morgenstern-Platz 1, ground floor.
Moodle

Registration/Deregistration

Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).

Details

max. 200 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

preliminary talk and beginning: Tuesday, 10th of March, 16.45 - 20.00 pm, HS 16, Oskar Morgenstern-Platz 1, ground floor.

  • Tuesday 10.03. 16:45 - 20:00 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 17.03. 16:45 - 20:00 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 24.03. 16:45 - 20:00 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 14.04. 16:45 - 20:00 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 21.04. 16:45 - 20:00 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 28.04. 16:45 - 20:00 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 05.05. 16:45 - 20:00 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock

Information

Aims, contents and method of the course

Topics of the courses:
1. Option basics
2. Black Scholes
3. Greeks
4. Trading
5. Delta Hedging
6. Put-Call Parity
7. Option trading strategies

Assessment and permitted materials

The grade will be based on the final exam as well as presentations. A fraction can be also allocated to homework exercises and class participation.

Minimum requirements and assessment criteria

The goal of this course is to provide basics in option pricing and application. This includes questions such as "From where does the Black Scholes formula come from?", "What are Greeks and how do I make use of them in trading?", " What is Delta Hedging and how does it work?", "What are option strategies"?
After attending this course students will be able to apply option trading strategies and understand the sensitivities of option pricing.

Examination topics

Reading list

Association in the course directory

Last modified: Mo 07.09.2020 15:28