040099 KU Options and Derivatives (MA) (2021W)
Continuous assessment of course work
Labels
ON-SITE
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 13.09.2021 09:00 to Th 23.09.2021 12:00
- Registration is open from Mo 27.09.2021 09:00 to We 29.09.2021 12:00
- Deregistration possible until Fr 15.10.2021 23:59
Details
max. 50 participants
Language: English
Lecturers
Classes (iCal) - next class is marked with N
Wednesday
06.10.
15:00 - 16:30
Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
13.10.
15:00 - 16:30
Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
20.10.
15:00 - 16:30
Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
27.10.
15:00 - 16:30
Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
03.11.
15:00 - 16:30
Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
10.11.
15:00 - 16:30
Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
17.11.
15:00 - 16:30
Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
24.11.
15:00 - 16:30
Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
01.12.
15:00 - 16:30
Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
15.12.
15:00 - 16:30
Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
12.01.
15:00 - 16:30
Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
19.01.
15:00 - 16:30
Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
26.01.
15:00 - 16:30
Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
Information
Aims, contents and method of the course
Assessment and permitted materials
Subject to modifications: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: We 06.10.2021 13:27
- 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...