Advanced Derivatives

Advanced Derivatives


General Information

The lecture "Advanced Derivatives" offers an advanced treatment of derivative financial instruments. In particular, an introduction is given to the theory in continuous time. Basic knowledge of derivatives, as taught e.g. in the BSc. lecture "Derivatives", is assumed to be known, or is summarized repeatedly in the first lecture hour.

The lecture is in English. An accompanying exercise (1SWS) is offered.

Topics covered

1) Revision of Basic Derivatives Theory
2) Brownian Motion & Stochastic Calculus
3) Black-Scholes-Merton Formula
4) Risk-neutral Valuation
5) Numerical Procedures for Derivatives Pricing
6) Exotic Options
7) Volatility
6) Interest Rate Derivatives


John Hull:  Options, Futures, and Other Derivatives


Written exam at the end of the semester (60 minutes).