Lecture
The chair offers a lecture and a tutorial on financial engineering in the summer term 2024. The course is primarily aimed at Master's students specializing in quantitative finance. Knowledge from the courses Financing (Finanzierung) and Derivative Financial Instruments (Derivative Finanzinstrumente) is required.
Course content
- Repetition of interest rates, forwards, futures and swaps
- Repetition of stock options
- Numerical procedures
- Options on stock indices, currencies and futures
- Design of payoff profiles and trading strategies
- Exotic options
- Real options
- Interest rate derivatives with option character
- Energy, Commodity and Weather derivatives
Date and location
Both the lecture and the tutorial take place weekly. There is no compulsory attendance in the lecture or exercise, but attendance is strongly recommended for exam preparation.
Wednesday, 16:15 - 17:45, H 26
Lecture notes
Lecture notes will be provided on the e-Learning platform GRIPS. Registration is possible from 01.04.2024. The script will be provided on GRIPS at the beginning of the lecture.
Textbook
The course is based on the textbook:
Hull, J.C.: Options, Futures and Other Derivatives. 11th updated edition, Pearson 2022
Exam
The exam lasts 60 minutes and is worth 6 credit points.
Further information on the course can be found on the e-learning platform GRIPS.
Tutorial
In the tutorial, exam-relevant tasks are dealt with in small groups. The current exercise sheet is posted online every week, which is discussed in the tutorial. It is strongly recommended to solve the respective exercise sheet independently in advance in order to prepare.
Wednesday, 18:15 - 19:45, H 7
Lecturer: Dr. Christian Sparrer
The tutorial starts in the second week of the lecture.
Registration
It is not necessary to register for the tutorial.
Exercise sheets
The exercise sheets will be uploaded to the e-learning platform GRIPS. Access to the digital course area in GRIPS will be possible from 01.04.2024.
Contact us
If you have any questions about the tutorial, please contact Dr. Christian Sparrer.
Results
Financial Engineering exam from 31.07.2023
The grades are expected to be visible to you in FlexNow from mid-August. You will then be able to view your exams in due course.
