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1.16 Futures and Options

Vorlesung:

Futures and Options

  

Dozent:

Prof. Dr. Ernst Eberlein

  

Zeit/Ort:

Di, 16–18, HS Fahnenbergplatz

  

Übungen:

Do, 16–18, SR 125, Eckerstr. 1

  

Tutorium:

Antonis Papapantoleon

  

Web-Seite:

http://www.stochastik.uni-freiburg.de/ WS06/07
  

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

Studienschwerpunkt:

Mathematische Stochastik und Finanzmathematik

Notwendige Vorkenntnisse:

Einführung in die Stochastik

Sprechstunde Dozent:

Mi 11–12 Uhr; Zi. 247, Eckerstr. 1

Sprechstunde Assistent:

n.V.

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