103-008-IO2 Derivatives in Financial Engineering

Study program:

International Finance (M.Sc.)

Academic level and semester:

Master, 2nd semester

ECTS credits/workload per semester:

3 / 75

Contact hours per week/contact hours per semester:

2 / 25

Type/Teaching method:

Lecture

Language of instruction: English

Frequency:

 Summer semester

Lecturer:

 Michael Bloss, Senator E. h.

Content:

 This course deals with the following topics:
Derivatives Exchanges
Clearing and Margining
Risk Controlling
Derivatives Instruments and valuation
Interest Rate Derivatives of Fixed Income Solutions
Equity Derivatives and Structuring Techniques
Credit Derivatives and Related Instruments
Pricing of Derivatives
Forecast models, GARCH, ARCH, Short rate models, Geometrical Brownian Motion and Ornstein Uhlenbeck process
Greeks
Strategies with Options and Futures
FX Derivatives
Commodity Derivatives
SWAP and Swaptions
IRG and FRA
Cap, Floors and Collars
Exotic Options
Derivatives Used in Financial Engineering
Case studies for strategic applications of tailor made financial solutions in asset and liability problems

Textbooks:

Lecturers own scriptMichael Bloss, Dietmar Ernst, Joachim Häcker, Daniel Sörensen: Financial Engineering

Recommended for:

Undergraduates, graduates

Prerequisites:

 Background in Business/Economics, Finance and Accounting (intermediate level)

Restrictions:

None

Assessment:

 Written exam