FIN 580: Derivatives – Basic Strategies and Pricing

This course deals with different derivatives. The functioning of various derivative instruments like forwards, futures, swaps, and options will be explained. Furthermore, derivatives strategies will be analyzed. A particular focus of the course is the valuation of different basic and exotic instruments. The theoretical basis will be presented in lectures, while exercise classes will provide the opportunity to apply the concepts in practice.

Learning outcomes
After the completion of this course, students will have gained a thorough understanding of the spectrum of derivative financial instruments and their functioning. Furthermore, they will have learned how to implement investment strategies using derivatives. Students acquire a working knowledge of different valuation techniques, which is a necessary condition for trading these instruments and which also allows them to price new innovative products themselves.

Necessary prerequisites

Recommended prerequisites
Students should have successfully completed the Mannheim Bachelor finance modules (or equivalent courses). They should have an understanding of simple derivatives and basic pricing techniques on a Bachelor level before taking this course! A working knowledge of basic mathematics (analysis and optimization) and statistics (expected values, variances, covariances) is required.

Forms of teaching and learningContact hoursIndependent study time
Lecture2 SWS9 SWS
Exercise class1 SWS5 SWS
ECTS credits6
Graded yes
Form of assessmentWritten exam (60 min)
Restricted admissionyes
Further information
Performing lecturer
Prof. Dr. Stefan Ruenzi
Prof. Dr. Stefan Ruenzi (Lecture), Santanu Kundu (Exercise Classes), Kai Maeckle (Exercise Classes)
Frequency of offeringFall semester
Duration of module 1 semester
Range of applicationM.Sc. MMM, M.Sc. Bus. Edu., M.Sc. Econ., M.Sc. Bus. Inf., M.Sc. Bus. Math., MAKUWI
Preliminary course work
Program-specific Competency GoalsCG 1
LiteratureHull, J. (2016): Fundamentals of Futures and Options Markets (9th Edition)
Chance, D. M. & Brooks, R. M. (2015): Introduction to Derivatives and Risk Management (10th edition)
McDonald, R. M. (2008): Fundamentals of Derivatives Markets (International edition)
Course outlineChapter 1: Introduction
Chapter 2: Trading Strategies
Chapter 3: Forwards
Chapter 4: Futures,
Chapter 5: Swaps,
Chapter 6: Options,
Chapter 7: Impact of Derivatives on Markets & the Macroeconomy