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Derivative Securities

This course is offered during the winter term.


Lecture Derivative Securities (22 432)

Dr. Maximilian Nagl

Wednesday 12 - 14h

Start: October 16, 2024

Room: H 4


Tutorial Derivative Securities (22 433)

Dr. Maximilian Nagl

Thursday 16 - 18h

Start: October 17, 2024

Room: H 18


Contents

  • Risk-neutral valuation, absence of arbitrage and martingales
  • Stochastic processes and stochastic differential equations
  • Valuation of forwards and futures
  • Valuation of swaps
  • Valuation of options
  • Hedging, greeks, volatilities and volatility smiles
  • Numerical methods in derivatives pricing
  • Extensions and alternatives to the Black–Scholes–Merton framework
  • Introduction to credit risk
  • Valuation of Credit Default Swaps
  • Valuation of Basket Default Swaps
  • Valuation of securitizations and structured credit products
  • Case studies

Results of past exams

Semester Average course grade
WS 2021/22 2.80
WS 2022/23 1.59
WS 2023/24 2.29

Further Information

  • The whole course will be taught in English.
  • Course materials will be made available via GRIPS.
  • Course registrationis is via SPUR.

Detailed course description: German, English


  1. Faculty of Business, Economics and Management Information Systems
  2. Department of Business Administration

Chair of Statistics and Risk Management

Research Fellow

Dr. Maximilian Nagl

Nagl 191 191

Room RW(S) 212

Phone +49 941 943-2752
Fax +49 941 943-4936
E-Mail
Office hours: Thu 14.30-15.30 only by prior arrangement