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040085 KU Options and Derivatives (MA) (2019S)

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

Details

max. 50 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

Tuesday 21.05. 13:15 - 16:30 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 22.05. 11:30 - 16:30 Hörsaal 1 Oskar-Morgenstern-Platz 1 Erdgeschoß
Tuesday 28.05. 09:45 - 13:00 Hörsaal 16 Hauptgebäude, Hochparterre, Stiege 5
Wednesday 29.05. 11:30 - 14:45 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday 04.06. 11:30 - 16:30 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 06.06. 11:30 - 14:45 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 13.06. 11:30 - 16:30 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 19.06. 11:30 - 13:00 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock

Information

Aims, contents and method of the course

Required Materials:
• Laptop
• Interactive Brokers Demo Account Access
• Microsoft Excel
• Textbook: John C. Hull, Options, Futures, and other Derivatives, 8th edition

Course Objectives:
This course aims to introduce students to options trading. Students will learn what options are, how they are priced and how they can be used for trading purposes such as speculation or hedging. By using a live demo-trading platform, students will learn to control and adjust options positions.
By the end of the semester students should be able to understand the concept of hedging and how changes in market conditions affect the option price. Classes will be held in the lecture halls of University of Vienna. Throughout the course of the semester, concepts will be demonstrated and further explored using Excel and Interactive Brokers.

Course Outline:

1. Introduction to Options
2. The Call option
3. The Put option
4. Trading of options
5. Put/Call Parity
6. Straddle
7. Strangle
8. Butterfly
9. Collar
10. Pricing of Call options
11. Pricing of Put options
12. Greeks
13. Delta-Hedging
14. Gamma-Hedging
15. Margin
16. Futures
17. Futures-Hedging
18. Futures Live-Trading

Assessment and permitted materials

• Blocked course: During each class tasks are assigned to the students, which they are expected to conduct during class, resp. as homework.

• Presentations: Each student will present an applied trading application of 10 minutes consisting of:
1) The trading, tracking and application of different option strategies to different market environments, as well as the calculation of aggregated Profits and Losses, and
2) The dynamic hedging and adjusting of positions over a certain amount of time.

• Moodle: A course website will be available on moodle via the following link: moodle.univie.ac.at/. Please refer to this website to access additional course materials.

• Laptop: All students will be required to use a laptop for calculation of option strategy performances as well as the tracking of hedged positions. Throughout the semester the software will be used both in class to demonstrate concepts and outside of class to complete assignments.

• Interactive Brokers Demo Account Access: All students will get an IB demo account access where they can conduct trades and keep track of their options strategies and hedging positions.

Minimum requirements and assessment criteria

Attendance mandatory
The final grade for this course will be based on your performance on the presentation, the final exam, class participation, IB usage, as well as homework, and attendance. Exams will be based on lectures, the text, and homework assignments. You need to reach at least 60% in order to pass the course.
Percentage weights and tentative dates are detailed below:

Graded Work Percentage Weight Tentative Date
Participation 10% ongoing
Presentation 30% 13.06.2019
Final Exam 60% 19.06.2019

Examination topics

Reading list

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

Association in the course directory

Last modified: Fr 06.09.2019 09:47