Lecture Derivative Securities (22 432)
Prof. Dr. Daniel R?sch
Wednesday, 12:00 - 14:00
Start:
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 (external link, opens in a new window), english (external link, opens in a new window)
Tutorial Derivative Securities (22 433)
Thursday, 16:00 - 18:00
Start:
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
| Semester | Average course grade |
|---|---|
| WS 2021/22 | 2.80 |
| WS 2022/23 | 1.59 |
| WS 2023/24 | 2.29 |
