Module Import 04IM2016 - Deepening Investment and Financing III

Status: Published
Workload6 ECTS = 180 hrs
Credits, Weight6 ECTS, (n.s.)
Language of Instruction German or English
Semester (n.s.)
Duration1 Sem.
M/E Elective
Courses
Course No. Type Name MA/EL Workload Credits Contact Hours Selfstudy Group Size
04IM2016-1 Lecture Deepening Investment and Financing III EL 3 ECTS = 90 hrs 3 ECTS 2 hrs/week = 30 hrs 60 hrs 30
04IM2016-2 Seminar Deepening Investment and Financing III EL 3 ECTS = 90 hrs 3 ECTS 2 hrs/week = 30 hrs 60 hrs 30
Learning Outcomes

Students passsing this modul will have competencies as follows:

  • Understand the most import types of derivative contracts and their potential applications in risk management
  • Able to evaluate standard types of derivatives based on basic discrete and continous time stochastic asset price models
  • Able to understand and use hedging mechanisms based on such models
  • Understand the impact of derivatives on risk probability distributions in simple portfolio contexts
  • Understand limits of simple stochastic models
  • Gain understanding of fundamental methods to be able to cooperate with qunatitative experts
Content

Derivatives and Financial Engineering

The course gives an introduction to financial derivatives, derivatives valuation and uses of derivatives in risk management and financial engineering. Participants learn the most important derivatives contract types and valuation methodologies. Particularly, the Black Scholes and Cox-Ross-Rubinstein approaches are covered to equip participants with the tools needed in risk management.

04IM2016-1 - Deepening Investment and Financing III

Derivatives and Financial Engineering

  1. Introduction
  2. Elementary option strategies
  3. General distribution-free no-arbitrage relationships
  4. Basic (stock) option pricing models
  5. Properties of stock option prices
  6. More advanced topics in option pricing and financial
    engineering
04IM2016-2 - Deepening Investment and Financing III

The seminar gives opportunity to deepen into the subjects of the lecture and to develop student research.

Teaching Methods

The modul consist of a classic lecture in combination with seminar

Prerequisites

Grundkenntnisse in Allgemeiner Betriebswirtschaftslehre, Investition und Finanzierung, sowie Abschluss der mathematischen Grundlagenveranstaltungen. Die Veranstaltung basiert auf der Modellierung von Risiken, so dass Grundkenntnisse in Statistik bzw. Wahrscheinlichkeitstheorie hilfreich sind. Die Veranstaltung kann weitgehend unabhängig von den Vertiefungen I und II besucht werden.

Examination Methods

Klausur oder mündliche Prüfung, Seminararbeit, Seminarvortrag

Credit Requirements

Bestehen der Prüfungen

References

(not specified)

04IM2016-1 - Deepening Investment and Financing III

Cox, J. C.; Rubinstein, M. (1985): Options Markets. Prentice Hall.

Dixit, A.K.; Pindyck, R.S. (1994): Investment under Uncertainty. Princeton Univ. Press.

Hull, J. C. (2018): Options, Futures & Other Derivatives. 9th. Ed., Pearson.

More advanced literature will be announced in the lecture

04IM2016-2 - Deepening Investment and Financing III

Appropriate literature will be given according to the individual focus of the reseach

Responsible / Organizational Unit
Burkhardt, Thomas / Institute for Management
Additional Information

The Module may be given in German or English

Last change
Apr 24, 2018 by Frey, Johannes
Last Change Module
Oct 5, 2018 by Frey, Johannes