Course Instructor
Dr. Buehlmaier,Matthias
Course Description
Financial engineering is the process of constructing new instruments by using bonds and individual derivatives such as forwards, calls, puts, and exotic options as basic building blocks. The process involves designing, pricing, and managing the instruments. In this course, we anatomize a few popular structured products. We then discuss how to price these products by studying the price of the embedded exotic options. We study the risk exposure of the investors and the risk management of the issuer. We also discuss some topics on the market for volatility trading, numerical methods for option-pricing, and models beyond Black-Scholes.
In FINA4354 Financial Engineering we study how to create new financial instruments using options and other derivatives. Students create their own financial products and learn how to market these products to investors.
Course Learning Outcomes
CLO1: Learn how to anatomize a traded structured product
CLO2: Learn how to price and hedge embedded exotic options
CLO3:Understand how to design a new structured product by applying option pricing theory.
CLO4: Be familiar with volatility trading.
CLO5: Be able to make convincing and coherent presentations.
CLO6: Be able to speak and write effectively, using the terminology of financial engineering.
Course Prerequisite(s)
FINA3350: Mathematical Finance
Offering Semester in 2023-2024
First Semester