B401 Continuous-time Derivatives Pricing
|Person responsible:||Prof. Dr. Christian Koziol|
Prof. Dr. Christian Koziol and Martin Kipp, M.Sc.
|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, H102 Lothar-Meyer-Bau
Practice course: Monday, 4:15 PM – 5:45 PM, H102 Lothar-Meyer-Bau
- 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
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.
- 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.