Universität Wien

040085 VK KFK CF/FI/FM: Advanced FM/FI: Options and Derivatives (2017S)

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work
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. 50 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

  • Tuesday 23.05. 11:30 - 14:45 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 24.05. 11:30 - 14:45 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 30.05. 11:30 - 14:45 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 01.06. 11:30 - 14:45 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 07.06. 11:30 - 14:45 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 08.06. 11:30 - 14:45 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 13.06. 18:30 - 21:30 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 20.06. 13:15 - 14:45 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock

Information

Aims, contents and method of the course

Topics of the courses:
1. Introduction to Options
2. The Call option
3. The Put option
4. Trading of options
5. Put/Call Parity
6. Implied Volatility
7. Option strategies
8. Pricing of Call options
9. Pricing of Put options
10. Greeks
11. Delta-Hedging
12. Gamma-Hedging
13. Margin
14. Futures
15. Futures-Hedging
16. Futures Live-Trading
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.

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.

Efficiency control: Oral and written
Allowed auxiliary means (e.g. pocket calculator, books): Pocket calculators
Methods of conveying the content: Frontal, Presentations, Electronically
Language of Instruction: English

Minimum requirements and assessment criteria

Attendance mandatory
Contribution of partial exams to the final grade: 30% presentations, 70% End test
Minimum requirements for the positive grade: 51%

Examination topics

Reading list

John C. Hull, Options, Futures, and other Derivatives, 8th edition

Literatur: http://workofark.com/pdf/options.PDF

Association in the course directory

Last modified: Mo 07.09.2020 15:28