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8.19 Futures and Options

Vorlesung:  

Futures and Options

  

Dozent:  

Dr. Ernst August Frhr. v. Hammerstein

  

Zeit/Ort:  

Mo 16–18 Uhr, HS Weismann-Haus, Albertstr. 21a

  

Übungen:  

Fr 10–12 Uhr, SR 127, Eckerstr. 1

  

Tutorium:  

Janine Kühn

  

Web-Seite:  

www.stochastik.uni-freiburg.de/

  
 

Inhalt:
 
The second revolution in mathematical finance following the Markowitz mean-variance theory of risk and return and the capital asset pricing model, concerns the option pricing theory of Black, Scholes and Merton from 1973 and the risk-neutral valuation theory that grew from it. In this course we introduce financial models in discrete as well as in continuous time and explain the basic principles of risk-neutral valuation of derivatives. Besides of futures and standard put and call options a number of more sophisticated derivatives is introduced as well. We also discuss interest-rate sensitive instruments such as caps, floors and swaps.
The course, which is taught in English, is offered for the second year of the Master in Finance program as well as for students in mathematics and economics.

Literatur:

1.)
Chance, D. M.: An Introduction to Derivatives and Risk Management (Sixth Edition), Thomson 2004
2.)
Hull, J. C.: Options, Futures and other Derivatives (Fifth Edition), Prentice Hall 2003
_____

Typisches Semester:  

ab 5. Semester

Notwendige Vorkenntnisse:  

Vorlesung Stochastik

Sprechstunde Dozent:  

Di 10–11 Uhr; Zi. 223, Eckerstr. 1

Sprechstunde Assistentin:  

Mi 10–11 Uhr; Zi. 231, Eckerstr. 1

Kommentar:  

On July 25, 2011, the lecture will exceptionally be relocated in SR 404, Eckerstr. 1.

 

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