3904192: Derivatives, financial engineering and risk

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Semester:SS 15
Scheduled in semester:2
Semester Hours per Week / Contact Hours:54.0 L / 40.5 h
Self-directed study time:109.5 h

Module coordination/Lecturers


Master's degree programme in Banking and Financial Management (01.10.2008)


  • Instruments on the Futures Market: Forwards, Futures, Options and Swaps
  • Significance of Yield Curve
  • Evaluation of Forwards, Futures and Swaps
  • Characteristics of Option Prices
  • Evaluation of Options According to Black/Scholes and Binomial Model
  • Derivative Elements in Structured Products
  • Greeks and Volatility Smiles
  • Exotic Options
  • Selected Aspects of Risk Management (e.g. Value at Risk, Backtesting, Stress Testing)
  • Hedging Strategies
  • Financial Engineering of Various Finance Instruments
  • Operational Risks

Lecture Goals

After completion of the module, the students recognise the most significant derivative instruments and the particularities of financial engineering. They have at their disposal comprehensive knowledge of the significant principles governing determination and evaluation of derivatives and are able to mirror the current stage of research on financial engineering.

Additionally, they master advanced hedging procedures, which they apply in a target-oriented manner in the areas of risk management. Because of their acquired specialised knowledge, they are able to meet complicated challenges in financial engineering. They are also able to identify and conceptualise abstract problems, such as the preparation of a special risk-profit profile and handle Operational risk.

Learning Outcomes

  • Utilising and identifying financial instruments and their application in practice
  • Taking into consideration the yield curve in the evaluation of derivatives and relating to it
  • Differentiating valuation approaches for forwards, futures, swaps and options as well as exotic options.
  • Explaining the use of Greeks and volatility smiles
  • Illustrating the fundamentals of risk management
  • Contrasting special risk management concepts
  • Developing and examining hedging strategies as a means of risk reduction
  • Analysing financial engineering for various financial instruments
  • Coping with Operational risk


Lectures Method

Interactive lectures with exercises

Admission Requirements


Exam Modalities

  • Written examination with 80 minutes editing time
  • Assignment


Web-based online evaluation upon completion of module


  • PWW-MA_Derivatives, Financial Engineering and Risk (SS 15, bewertet)
  • PWW-MA_Derivatives, Financial Engineering and Risk (WS 15/16, bewertet)