Derivatives Pricing

Please register for this lecture in HISinOne!

 

Lecture

taught by Dr. Riccardo Brignone

Content

Introduction to the Black-Scholes model and the basics of model-based derivatives pricing.

Introduction to concepts of pricing, calibration and simulation.

Topics which will be discussed in the lecture include:

  • Multiperiod discrete models
  • Continuous time models
  • Option pricing and Greeks evaluation
  • Monte Carlo simulation
  • Exotic derivatives
  • Stochastic volatility

 

Date

 
Thursdays 4-6 pm, lecture hall 1009 KG I

First Meeting

April 18th, 2024

 

LanguageEnglish
 
PrerequisitePrinciples of Finance, Futures and Options, R-Course (recommendation)
 
ECTS6
 
Exam

120 min. written exam at the end of the term.

Please find the current examination dates on the examination office's homepage.

For a correct identification, please bring your UniCard AND your ID to the exam.

For details on the registration and the registration period for the first exam, please also look at the websites of the examination offices of Economics and Mathematics for further information!

ILIAS

Course materials will be available on ILIAS.

Please register for the course in HISinOne. The registration is open from tba.

In the first week of the lecture you will receive the password for the course on ILIAS via email.
Credit

The lecture is open for M.Sc. Economics and M.Sc. VWL.

In M.Sc. Economics, the course can be credited in the profile "Finance".

In M.Sc. VWL, the course can be credited for

  • Quantiative Methods

  • Accounting, Finance, and Taxation (new examination regulations, valid from winter term 2014/2015).

Tutorial

taught by Dr. Riccardo Brignone

Date                             

every Tuesday from 2-4 pm at HS 3118 KG III. Some will be cancelled and therefore the total amount of Tutorials will be 1 SWS.                                             

First Meeting
 April 23rd, 2024                                                                                             

 

 

 

Benutzerspezifische Werkzeuge