BFC-M-01: Financial Innovation

Winter Term 2019/2020

Course Description

This course enables students to understand and analyze the most important financial innovations. They learn the valuation of Forwards/Futures and their use in risk management. Furthermore, options are priced in discrete and continuous time. Students learn the binomial model, the Black/Scholes model and its extensions (structured products, American contracts). In addition, we consider options on futures, which are of high practical relevance. A particular focus is put on the state preference theory and its implication for valuation purposes (the optimal asset allocation on a complete market, the assessment of risk and the risk neutral probability measure). The module is organized as follows:

  • Forward and Futures
  • Option Markets
  • Binomial Option Pricing
  • Black/Scholes World
  • Generalizations of the Black/Scholes World
  • Options on Futures

The practical implementation of theoretical concepts is also studied in the context of mini case studies and problems.

Course and exam language: German

The Module in the Study Program

  • Module: BFC-M-01
  • Course level: Master
  • Recommended semester: 1-2
  • ECTS-Credits: 6
  • For information on the status of the course in the study program please refer to the website of the examining board ("Prüfungsausschuss")

Bibliography & Course Material

The corresponding bibliography and further information on the course can be found in the course catalogue ("Modulhandbuch") available for download through http://www.uni-bamberg.de/sowi/pa/bwlewwipaed/aushang-alle-studiengaenge/.

Course material as well as a detailed course syllabus will be provided on the Virtual Campus. The access code will be communicated in the course of the first lecture and may be requested by e-mail to bwl-bfc(at)uni-bamberg.de.

Registration & Scheduling

Registration and deregistration for the exam online through FlexNow! during the official registration period of the Faculty for Social Sciences, Economics, and Business Administration.

Vorlesungen

BFC-M-01: Financial Innovation
2 SWS
Matthias Muck , Philipp Kleffel , Thomas Schmidl

Übungen

BFC-M-01: Financial Innovation, Übung (Gruppe A)
SWS
Philipp Kleffel
BFC-M-01: Financial Innovation, Übung (Gruppe B)
SWS
Philipp Kleffel
BFC-M-01: Financial Innovation, Übung (Gruppe C)
SWS
Thomas Schmidl