Financial Engineering

Course (Master) in the summer term 2024

Lecturer: Prof. Dr. Gregor Dorfleitner

Exam

The oral examinations will take place in the winter semester 2024/25 on Thursday, 30.01.2025, from 9:30 a.m., in Prof. Dorfleitner's office (VG 3.05).
You will receive the exact times on 16.01.2025 by e-mail to your stud. address.
Registration and deregistration is done via FlexNow.

Course

This course is expected to take place again in the summer semester 2025.

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