Financial Engineering
Financial Engineering
Modulleitung
Studiengänge
Masterstudiengang Innovative Finance (MSc IF 24)
(01.09.2024)
Financial Engineering provides an introduction to concepts and methods around financial derivatives and their use in the creation of tailor-made payoffs according to client needs. The course covers the following topics:
- Derivatives Markets and Instruments: Forwards, Futures, Options, Swaps
- Pricing of Equity, Fixed Income, and Currency Derivatives
- Hedging Using Derivatives
- Decomposing structured products into their components
- Creating tailor-made payoffs from basic financial instruments
Lehrmethode
- Interactive lecture
- Exercises to be solved individually or in groups between classes
Lernergebnisse
After successful completion of the course, students will
Professional competences
Methodological competences
Technological competences
Professional competences
- understand the factors in the attractiveness of structured products for clients.
- select and apply appropriate valuation models for derivatives in practice.
- devise and/or analyse derivatives strategies for speculation, hedging and arbitrage.
Methodological competences
- decompose structured products into basic assets.
- create tailor-made payoffs from standard derivatives.
- understand valuation models for financial derivatives.
- use Greek variables in risk management and financial engineering.
Technological competences
- use R in the context of financial engineering.
Literatur
- Hull, J.C. (2021) Options, Futures, and Other Derivatives. 11th ed., Pearson.
- Boughattas, S. (2022) State of the art in structured products: Fundamentals, Designing, Pricing and Hedging. Advanced Education in Financial Engineering – SAS.