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Lehrende: Sebastian Golder; Johannes Magnus Heuel; Prof. Dr. Alexander Szimayer
Veranstaltungsart:
Interaktive Lehrveranstaltung
Anzeige im Stundenplan:
Semesterwochenstunden:
3
Credits:
6,0
Unterrichtssprache:
Englisch
Min. | Max. Teilnehmerzahl:
- | 45
Kommentare/ Inhalte:
Due to the Corona crisis, we will use the application “Zoom” to provide online live lectures and tutorials for this course. The lectures and tutorials will take place weekly in the periods specified in STiNE. The corresponding lecture slides, exercise sheets and solutions will be uploaded in STiNE.
Via the lecture materials in STiNE, you will get the link, the ID, and the password for the repetitive Zoom meeting, in which we will give the lectures and tutorials. They are recurrent, which means that you can use the link, ID and password throughout the whole semester. However, the host must be online to activate the meeting. We will be present roughly 5 minutes before the course starts officially.
To connect with Zoom, please, use your UHH credentials (STiNE-Kennung) to sign in at https://uni-hamburg.zoom.us/. As you signed in, you can join our meetings using the link or ID given above. For the identification of the students, we ask you kindly to use only UHH credentials and no private accounts to sign in.
If you use Zoom for the first time, please take roughly 30 minutes to download it, which happens automatically if you try to join a meeting and get familiar with the application. In particular, ensure that the speakers, headphones and microphones work properly. The UHH provides an extensive guide on how to join meetings at
https://www.rrz.uni-hamburg.de/services/weitere/medienkompetenz/videokonferenzen/zoom/meeting-beitreten.html.
Unfortunately, this guide seems to be only available in German.
About the course
The course deals with options, futures contracts and other derivatives financial instruments. Firstly, the basics of forward and future contracts as well as their valuation by using the No-Arbitrage Principle are revised. This is followed by a short presentation of options and their valuation using the binomial model.
The focus is directed on the analysis of the Black-Scholes-Model for valuation of share options. In particular, the Black-Scholes-formula for valuing a call-option will be derived. For this purpose, the necessary knowledge of the Wiener process and stochastic integration is built up.
The sensitivities, the so-called Greeks, related to the pricing formulas, according to Black-Scholes, are discussed and their application in risk management is shown. Afterwards options on currencies, commodities and futures are discussed and invest rate derivatives and credit derivatives are introduced. Numerical valuation methods as for instance Monte-Carlo simulation are briefly discussed.
Lernziel:
On completion of this course, you should be able to:
- value derivative contracts like futures, forwards and for deriving option price bounds using the no-arbitrage principle
- detect arbitrage opportunities
- apply risk-neutral valuation as a generic methodology for various setups including pricing of standard options (calls and puts), and exotic options
- grasp the derivation of the Black-Scholes option pricing model based on Brownian motion and Ito calculus
- hedge and manage option portfolios utilizing the Black-Scholes Greeks (sensitivities of the option price)
Vorgehen:
Course (3 + 0)
Literatur:
John C. Hull, Options, Futures, and Other Derivatives (8th Ed.), Pearson
Jacque, Laurent L (2010): Global derivative debacles : from theory to malpractice, World Scientific
Zusätzliche Hinweise zu Prüfungen:
TAKE-HOME EXAM:
Time to process the exam: 90 min
Time frame in which the exam can be completed: 110 min
First exam: 12. July 2021. 10:15 am-12:05 am
Second exam: 20 September, 3:45 pm-5:35 pm
The examiner of your course will provide information about the hand out of examination tasks / assignments and their submission.
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