FIN 681 - Derivatives II


HWS 2012 Lectures:

Monday, 12:00 -13:30 in O142

Tuesday, 8:30 - 10:00 in O148

The first lecture will be on Monday, October 29, 2012.

The slides of the first lecture can be found here and on Ilias. All other course material will be provided on Ilias only.

HWS 2012 Exercise Class:

Monday, 13:45 - 15:15 in L15, 1-6, A001

The first exercise session will be on Monday, November 5, 2012.

Course Outline

The lecture FIN 681 Derivatives II is usually offered in the fall/winter term only.

Part A: More on Pricing of Derivatives

1. Implied Volatility and the Volatility Smile
2. Implied Binomial Trees
3. Monte Carlo Simulations

Part B: Risk Management

4. Risk Management: Introduction
5. Risk Management with unconditional Derivatives
6. Risk Management with conditional Derivatives
7. Other types of risk and their management
8. Summary 

Logistics & Important Dates

The course is organized in lectures and exercises.

Lecture Slides

Slides and practice sheets will be posted on the Illias system.
Please register for the course to get access to the relevant material.

Textbooks & Readings 

Detailed information regarding the readings for the individual chapters will be announced on the slides.


To receive a grade for the course students have to pass a final exam. 

Notice: This information is subject to corrections.
Please check this site regularly in order to schedule course offer changes in time.