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Lecture Derivative Securities (22 432)

Prof. Dr. Daniel R?sch

Wednesday, 12:00 - 14:00

Start: 15. 10 .2025

Room: H 4

Further Information

  • The whole course will be taught in English.
  • Course materials will be made available via GRIPS.
  • Course registrationis is via SPUR.

Detailed course description: 

german (opens in a new window). (This PDF is not accessible), english (opens in a new window). (This PDF is not accessible)

Tutorial Derivative Securities (22 433)

 

Thursday, 16:00 - 18:00

Start: 16.10. 2025

Room: H 17

Contents

  • Risk-neutral valuation, absence of arbitrage and martingales
  • Stochastic processes and stochastic differential equations
  • Valuation of forwards and futures
  • Valuation of swaps
  • Valuation of options
  • Hedging, greeks, volatilities and volatility smiles
  • Numerical methods in derivatives pricing
  • Extensions and alternatives to the Black–Scholes–Merton framework
  • Introduction to credit risk
  • Valuation of Credit Default Swaps
  • Valuation of Basket Default Swaps
  • Valuation of securitizations and structured credit products
  • Case studies

Results of past exams

SemesterAverage course grade
WS 2021/222.80
WS 2022/231.59
WS 2023/242.29
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