Department of Finance

B401 Continuous-time Derivatives Pricing

Person responsible: Prof. Dr. Christian Koziol
Lecturer:

Prof. Dr. Christian Koziol and Martin Kipp, M.Sc.
Language: English
Course type and number of hours: 2 hours lecture + 2 hours practice course
ECTS credits: 9 ECTS
Type of exam: Assignment
Time and place:

Lecture: Monday, 2:15 PM – 3:45 PM, E02 Mohlstraße 36

Practice course: Monday, 4:15 PM – 5:45 PM, E02 Mohlstraße 36

Note: The first class on April 17 will start at 4:15 PM.

Goals

Content:

  • Fundamentals on stochastic processes for financial products
  • Properties of geometric Brownian motion
  • Option pricing using differential equations
  • Risk-neutral valuation
  • Derivation of Black-Scholes formula
  • Numercial methods

Objectives:
During this course students will obtain an in-depth knowledge in derivatives pricing by using continuous-time concepts of modern finance theory as well as their application to equity and other securities. Having completed this course, students will be able to approach the literature in this field successfully and apply continuous-time techniques for arbitrary derivatives pricing challenges.

Literature:

  • Hull, J. (2014): Options, Futures, and Other Derivatives, 9th ed., Upper Saddle River.
  • Shreve, S. (2010): Stochastic Calculus for Finance II: Continuous-Time Models, 2nd ed., Springer Finance.