FIN 580 – Derivatives II

General Information

HWS 2012 Lectures:

The first lecture will be on Monday, 29 October 2012.

The slides of the first lecture can be found here (PDF) and on Ilias. All other course material will be provided on Ilias only.

The lecture FIN 681 Derivatives II is usually offered in the fall/winter term only.

Part A: More on Pricing of Derivatives

1. Implied Volatility and the Volatility Smile

2. Implied Binomial Trees

3. Monte Carlo Simulations

Part B: Risk Management

4. Risk Management: Introduction

5. Risk Management with unconditional Derivatives

6. Risk Management with conditional Derivatives

7. Other types of risk and their management

8. Summary

The course is organized in lectures and exercises.

Slides and practice sheets will be posted on the Illias system.
Please register for the course to get access to the relevant material.

Detailed information regarding the readings for the individual chapters will be announced on the slides.

To receive a grade for the course students have to pass a final exam.

Credit: Private

Chair Holder
Chair of International Finance