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Derivatives - Valuation & Investment Strategies

This course aims at enabling participants to understand how common financial derivatives work and apply this knowledge to the valuation of those derivatives. In doing so, the course is structured corresponding to the complexity of the derivative classes: After an introduction on futures and forwards, several variants of swaps (Interest Rate Swaps, FX Swaps, CDS) are discussed. Finally, we cover various alternatives of option pricing and students, thereby distinguishing between distribution-dependent (Black-Scholes-Merton-model) and distribution-independent (arbitrage-free) pricing theory.

Employing real-world examples, exercises and case studies, attendees are familiarized with the role and risks of derivatives in modern financial markets. Upon successful attendance, students will be endowed with the relevant tools to determine derivative prices and to develop investment strategies based on market data. These tools will prepare attendees for a wide range of job profiles in the financial markets industry, but also for industry jobs, such as risk management roles in corporate finance departments.