This course is expected to run again in the summer term of 2027.
Lecture
Lecturer: Dr. Christian Sparrer
Date: Wednesday, 4:15 p.m. to 5:45 p.m., H 26
The chair offers a lecture and a tutorial on financial engineering in the summer term 2026.
The course is primarily aimed at Master's students specializing in quantitative finance. Knowledge from the courses Financing (Finanzierung) and Derivative Securities is required. Lecture notes will be provided on the e-Learning platform GRIPS (externer Link, öffnet neues Fenster). Registration is possible from March 30, 2026.
Tutorial
Tutor: Dr. Christian Sparrer
Date: Tuesday, 2:15 p.m. to 3:45 p.m., H 9
The tutorial begins in the second week of lectures (Tuesday, April 21).
In the tutorial, exam-relevant tasks are dealt with in small groups. The current workseet 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.
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
Exam
Exam
The oral examinations for the winter semester 2026/27 will take place on January 28th, 2027, starting at 9:00 a.m. in Prof. Dorfleitner's office (VG 3.05).
You will receive the exact times to your student address on January 14th, 2027.
Registration will take place via FlexNow from November, 13th, 2026 to December, 14th, 2026.
Deregistration will take place via FlexNow from November 13th, 2026 to January, 21st, 2027.
Textbook
The course is based on the textbook:
Hull, J.C.: Options, Futures and Other Derivatives. 11th updated edition, Pearson 2022
| Course language | Frequency | Hours per week | ECTS | Exam |
|---|---|---|---|---|
| English | summer semester | 2L+2T | 6 | 60-minute written exam |
