040099 KU Options and Derivatives (MA) (2022W)
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 12.09.2022 09:00 to Fr 23.09.2022 12:00
- Registration is open from We 28.09.2022 09:00 to Th 29.09.2022 12:00
- Deregistration possible until Fr 14.10.2022 23:59
Details
max. 50 participants
Language: English
Lecturers
Classes (iCal) - next class is marked with N
exam: 19 December, 9.45 am - 1.00 pm, HS 14, 2nd floor
final exam: 2 February, 9.45 am - 1.00 pm, HS 10, 2nd floor
Wednesday
05.10.
15:00 - 16:30
Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
12.10.
15:00 - 16:30
Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
19.10.
15:00 - 16:30
Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
09.11.
15:00 - 16:30
Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
16.11.
15:00 - 16:30
Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
23.11.
15:00 - 16:30
Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
30.11.
15:00 - 16:30
Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
07.12.
13:15 - 14:45
Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
07.12.
15:00 - 16:30
Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
14.12.
15:00 - 16:30
Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
Monday
19.12.
09:45 - 13:00
Hörsaal 14 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday
11.01.
15:00 - 16:30
Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
18.01.
15:00 - 16:30
Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday
25.01.
15:00 - 16:30
Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
Thursday
02.02.
09:45 - 13:00
Hörsaal 10 Oskar-Morgenstern-Platz 1 2.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: Tu 31.01.2023 15:08
- 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...