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Mancini L.

Course director

Fröhlig F.



Capital markets

Description / Program

The program of the course comprises an introduction to derivatives and three main building blocks: 1) Mechanics of futures markets; hedging strategies using futures; pricing of forwards and futures on stocks, stock indices, currencies, commodities. 2) Mechanics of options markets; properties of stock options; trading strategies involving options; option pricing with binomial trees; option pricing with the Black-Scholes-Merton model; options on stock indices and currencies; the Greeks and hedging of options; 3) Interest rates; bond pricing; forwards and futures on interest rates; interest rate swaps; currency swaps; valuation of swaps.


J. Hull, Options, futures, and other derivatives, Pearson-Prentice Hall, 2018, tenth edition


The course aims at providing the basics for the pricing of financial derivatives and their use for hedging strategies

Teaching mode

In presence

Learning methods

Lectures and exercise sessions

Examination information

Final Exam 100%. Grading is based on an in-class exam