FIN 580 - Derivatives I
On Tuesday 13.09.2016 there will be one extra lecture for all students in room O148 (MVV Hörsaal) from 10:15-11:45 (B2) instead of an exercise session.
This semester (HWS 2016/17) the course is taught by Prof. Stefan Ruenzi and has very similar content to the previous year. The exercises are taught by Michael Ungeheuer and Pavel Lesnevski.
2. Trading Strategies
7. Impact of Derivatives on Markets & the Macroeconomy
Slides and practice sheets will be posted on the Illias system.
Please register for the course to get access to the relevant material
The introductory slides are available for download.
Textbooks & Readings
There are two main books, which are particularly helpful for this course:
- Hull, J. (2014): Options, Futures, and Other Derivatives (9th Edition), OFD
- McDonald, R. L. (2012): Derivatives Markets (3rd edition), DM
In addition you may refer to following books, depending on your level of studies and abilities:
- Hull, J. (2016): Fundamentals of Futures and Options Markets (9th Edition).
- Chance, D. M. & Brooks, R. M. (2015): Introduction to Derivatives and Risk Management (10th edition).
- McDonald, R. M. (2008): Fundamentals of Derivatives Markets (International edition).
Additional & Advanced Books:
- Cox, J.; Rubinstein, M. (1985): Options Markets.
- Prisman, E.Z. (2001): Pricing Derivatives Securities.
- Jarrow, R.A.; Turnbull, S.M. (1999): Derivative Securities (2nd edition).
- Baxter, M; Rennie, A. (1996): Financial Calculus: An Introduction to Derivative Pricing.
- Briys, E.; Bellalah, M.;Mai, H.M.; de Varenne, F. (1998): Options, Futures and Exotic Derivatives.
- Neftci, S.N. (2000): An Introduction to the Mathematics of Financial Derivatives (2nd ed.).
- Seydel, R. (2000): Einführung in die numerische Berechnung von Finanz-Derivaten. Computational Finance.
- Zhang, P.G. (1998): Exotic Options -A Guide to 2nd Generation Options (2nd ed.).
van der Hoek, J.; Elliott, R.J. (2009): Binomial Methods in Finance, Springer Verlag,
To receive a grade for the course students have to pass a final exam:
- Written exam
- 60 minutes
- Date: 17.12.16
More information concerning the exam will be available during the lectures and exercise sessions.
To take the course students should register for the exam during the exam registration period using student portal.
Early registration period "Mannheim Master in Management" (For fields: "Methods/Key Qualifications", "Business Economics" and "Business Administration") is 28.9.2016 – 12.10.2016.
Notice: This information is subject to corrections. Please check this site regularly in order to schedule course offer changes in time.