**General Information**

The lecture "Financial Markets II: Advanced Derivatives" offers an advanced treatment of derivative financial instruments. In particular, an introduction is given to the theory in continuous time. Basic knowledge of derivatives, as taught e.g. in the BSc. lecture "Derivatives", is assumed to be known, or is summarized repeatedly in the first lecture hour.

The lecture is in English. An accompanying exercise (1SWS) is offered.

** Topics covered **

*1) Revision of Basic Derivatives Theory*

2) *Brownian Motion & Stochastic Calculus*

3) *Black-Scholes-Merton Formula*

*4) Risk-neutral Valuation*

5) *Numerical Procedures for Derivatives Pricing*

6) *Exotic Options*

7) *Volatility*

6) *Interest Rate Derivatives*

**Textbook**

John Hull: Options, Futures, and Other Derivatives

**Assessment**

Written exam at the end of the semester (60 minutes).