t.BA.WI.TFE.15HS (Topics in Financial Engineering) 
Module: Topics in Financial Engineering
This information was generated on: 29 April 2024
No.
t.BA.WI.TFE.15HS
Title
Topics in Financial Engineering
Organised by
T IDP
Credits
2

Description

Version: 1.0 start 01 February 2016

Module coordinator:

 Breymann, Wolfgang (bwlf)

Learning objectives:
Objectives Competences Taxonomy levels
The students know about the importance of financial engineering, are familiar with their principles and can use them in an applied context. F, M, SE K2, K3
They are able to aplly what they have learnt to new cases and to view it in the overall context F, M K4, K5
They are able to judge about the validity and the limits of the techniques they have learnt F, M K6
     

Module contents: 

Financial Engineering is a multidisciplinary field involving financial theory, the methods of engineering, the tools of mathematics and the practice of programming. 
We will focus on the principles of financial engineering.

Certain topics can change from year to year and will be chosen based on recent developments in financial markets as well as students’ preferences.
 
The students will also learn how to apply those techniques and will be able to implement the main concepts themselves. Throughout the course, we will focus on those techniques and tools that can readily be used in practice.
 
This elective course can be offered in English and German.
 
Content:
Lectures:
  • Introduction to Financial Engineering
  • Institutional Aspects of Derivatives Markets
  • Cash Flow Engineering, Interest Rate Forwards and Futures
  • Selection of advanced topics:
    • Introduction to Interest-Rate Swap Engineering
    • Cash Flow Engineering in Foreign Exchange Markets
    • Tools for Volatility Engineering, Volatility Swaps, and Volatility Trading
    • Correlation as an asset class and the smile
    • Credit Markets: CDS Engineering
    • Essentials of Structured Product Engineering
This corresponds to chapter 1-4, 6, 15, 16, 18, 20 in the text book. Further topics from the book can be taught based on students’ interests and current developments in the financial markets. Selected topics are chosen as part of a practical group project.

Literature:

Text books:

 

 

Lecture notes: Further material will be handed out during the course.

Programming Language: Python (current version) and R (current version)

Supplementary literature:

Prerequisites:

  

Teaching language:

 German.

Module structure:
Form of instruction: Number of lessons per week:
Lecture & Labs integrated 2
Self-Study under guideline of the lecturer  
Block course:  

Exams:

 The regulation on graded class assignments is binding. However, it may be waived if a formal, written request is made by the lecturer in the first week of the semester.
Designation Type Form Scope Grade Weighting
Graded assignments during teaching semester Homework (problem solving)

Project carried out during the semester		 written

written & oral		 ca. 20 opages in total

10 pages, 30min		 grading


grading		 20%


20%
End-of-semester exam Final examination written 90min grading 60%

Remarks:

  
Course: Topics in Financial Engineering - Vorlesung
No.
t.BA.WI.TFE.15HS.V
Title
Topics in Financial Engineering - Vorlesung

Note

  • No module description is available in the system for the cut-off date of 29 April 2024.