Universität Wien

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

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

  • Wednesday 02.10. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 09.10. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 16.10. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 30.10. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 06.11. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 13.11. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 20.11. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 27.11. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 04.12. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 11.12. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 08.01. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 15.01. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 22.01. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 29.01. 09:45 - 11:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock

Information

Aims, contents and method of the course

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...

Assessment and permitted materials

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.

Minimum requirements and assessment criteria

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.

Examination topics

See above

Reading list

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

Association in the course directory

Last modified: Mo 07.09.2020 15:19