Financial Engineering and Structured Finance
Key Facts
Lecture (2 SWS) + Exercise class (2 SWS); every WiSe; 5 ECTS; english
Content
- Fixed income: spot market and symmetric derivatives (yield curve estimation, swaps, forwards, futures)
- Equities: Options (value limits, single and multi-period binomial trees, Black/Scholes, European and American derivatives)
- Fixed income: interest rate and bond options (caps, floors, Black model, yield curve models such as Vasicek and Cox/Ingersoll/Ross)
- Fixed-income: certificates and structured products (market overview, capped, floored, collared floaters, reverse and fixed-maxi floaters, callable step-up bonds, capital market floaters, etc.)
- Equities: certificates and structured products (market overview, index certificates, reverse convertibles, discount certificates, quanto certificates, turbo certificates, etc.)
- Structural models (liability positions as derivatives on corporate assets, agency-conflicts between equity and debt capital providers, covenants, determinants of optimal corporate default, impact analysis of capital structure measures, rating from market prices, estimation of asset values and volatilities from liability positions and derivatives)
- Reduced form models
- Asset backed securities (ABS, CLOs etc), credit default swaps and structured debt
Recommended Reading
In good time before the course beginns, a script will be made available electronically via Stud.IP. This will also include the exercise questions. In addition, a comprehensice Excel file will be available ther, which can be used to work through the quantitative contetnt interactively.
Applicability and how the exam works
- Master Business Administration (Version 1): Focus Accounting, Finance and Taxation (Fundamentals or Advanced Studies)
- Master Business Administration (SuSe2025): Major Finance or Minor Finance
- Master International Economics and Business (Version WiSe2018): International Finance
- Master International Economics and Business (Version WiSe2023): Advanced Corporate Finance 1 or 2
- Master Information Systems (Version SuSe2026): Minor Finance
- Master Computational Mathematics: Applications
written exam, 60 minutes (100%)
Recommended semester & prerequisites
This course should be taken at the start or in the middle of your degree programme. It requires a basic understanding of finance, as typically acquired during a bachelor´s degree.
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