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Track: Fixed Income and Derivative Securities

Track director: Prof. Dr. M. Uhrig-Homburg

ECTS = 8


Lectures:

• Derivatives
• Fixed Income Securities
• Computational Finance

Track description:

The track “Fixed Income and Derivative Securities” provides a unifying approach to the pricing of derivative securities. Moreover, the most important concepts pertaining to term structure modelling are discussed and the students are familiarized with the efficient use and implementation of pricing and risk management methods on derivative and fixed income securities markets. The module is based on the following main topics: valuation of forward contracts, forward and futures prices, fundamental properties of option prices, binomial model, Black-Scholes model and extensions, greeks, delta hedging, risk management with derivatives, bond markets, fixed income derivatives, duration, convexity; dynamics of the term structure of interest rates; factor models, spot-rate models, forward-rate models (HJM), market models (LIBOR, Swap); tree procedures, simulation procedures, PDE-methods, calibrating interest rate models, volatility smiles.

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