Financial Engineering

Lecturer: Prof. Dr. Gregor Dorfleitner
Date: Wednesday, 16:15 - 17:45, H 26

The chair offers a lecture and a tutorial on financial engineering in the summer term 2025. 

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 01.04.2025.

Tutor: Dr. Christian Sparrer
Date: Tuesday, 14:15 - 16:45, H48

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.

• 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 

The written exam will take place in the summer semester 2025 (during the regular examination period).
Registration deadline in FlexNow: 16.05. to 16.06.2025
Registration and deregistration takes place via FlexNow.

The course is based on the textbook:
Hull, J.C.: Options, Futures and Other Derivatives. 11th updated edition, Pearson 2022