040099 KU Options and Derivatives (MA) (2019W)
Continuous assessment of course work
Labels
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).
- Registration is open from Mo 16.09.2019 09:00 to Mo 23.09.2019 12:00
- Registration is open from Th 26.09.2019 09:00 to Fr 27.09.2019 12:00
- Deregistration possible until Mo 14.10.2019 12:00
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
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.
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
J. Michael Steele, Stochastic Calculus and Financial Applications
Class notes
Association in the course directory
Last modified: Mo 07.09.2020 15:19
- 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...