Banking and Insurance Industry

Derivate & Financial Engineering

Integrated course, 3.00 ECTS


Course content

The course covers the fundamentals of conditional and unconditional derivative financial instruments and their use in financial engineering.

The core contents include:
[1] Derivative financial instruments markets
[2] Unconditional forward contracts: Fowards, Futures (Functionality, Use as Hedging Instrument, Basis of Valuation)
[3] Conditional forward contracts: profit and loss profiles, option strategies, option price sensitivities
[4] Evaluation of options
[5] Financial Engineering

During the course, the digital skills of the participants will be promoted through the application of the learned content in state of the art software (Excel, R, Python, etc).

Learning outcomes

After completing the module Fundamentals of Risk Management & Financial Engineering, students will be familiar with derivative financial instruments, understand their functionality, their application as a hedging instrument, and are able to develop hedging strategies and financial engineering products. Moreover, the students know the basics of risk management, the risk management process, basic concepts of quantitative risk measurement and are able to apply them.

Recommended or required reading and other learning resources / tools

Literature Hull: Optionen, Futures & andere Derivate;
Hull: Risikomanagement;
Wüst: Risikomanagement;
Jorion: Financial Risk Manager Handbook, Wiley Finance
Allen, Boudoukh, Saunders: Understanding Market, Credit, and Operational Risk, Blackwell Publishing;
Brealey, Myers: Principles of Corporate Finance, McGraw Hill;
Glaserman: Monte Carlo Methods in Financial Engineering, Springer;

Mode of delivery


Prerequisites and co-requisites

Quantitative fundamentals, financial, banking and insurance products, investment management & investment analysis

Assessment methods and criteria

Final examination including continuous assessment