The Derivatives course deals with the possible uses and valuation problems of derivative financial instruments. After an overview of the most important derivatives and their significance, forwards and futures are first analyzed. This is followed by an introduction to option pricing theory. The focus is on the valuation of options in discrete-time and continuous-time models. Finally, the construction and possible uses of derivatives are discussed in the context of risk management.

Basic literature

• Hull, J. (2012). Options, Futures, & Other Derivatives, Prentice Hall, 8th Edition.

Further reading

• Cox, J.; Rubinstein, M. (1985): Option Markets, Prentice Hall