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Syllabus FinancialEngineering

This 6 ECTS course taught in the spring semester at the University of Zurich covers financial engineering. The 4-hour per week course, taught by Professor Markus Leippold, introduces mathematical finance concepts and equity derivatives modeling and pricing, including the Black-Scholes model and stochastic volatility models. The course objectives are to teach master's students in quantitative finance the concepts and methods needed to price and hedge various derivatives like European and American options as well as variance swaps.

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104 views1 page

Syllabus FinancialEngineering

This 6 ECTS course taught in the spring semester at the University of Zurich covers financial engineering. The 4-hour per week course, taught by Professor Markus Leippold, introduces mathematical finance concepts and equity derivatives modeling and pricing, including the Black-Scholes model and stochastic volatility models. The course objectives are to teach master's students in quantitative finance the concepts and methods needed to price and hedge various derivatives like European and American options as well as variance swaps.

Uploaded by

marapopsq
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Course title: Financial Engineering

Course Basic Information


Academic Unit: University of Zurich, Department for Banking and Finance
(University/Department)
Course title: Financial Engineering
Level: Master of Science UZH ETH in Quantitative Finance
Course Status: Core FIN
Year of Study: Spring Semester
Number of Classes per Week: 4h (Lectures with practical exercises)
ECTS Credits: 6 ECTS
Time /Location: According to the timetable in UZH course catalogue
Lecturer: Prof. Dr. Markus Leippold
Content
Content of the course
This lecture is intended for students who would like to learn
more on equity derivatives modelling and pricing. After
introducing fundamental concepts of mathematical finance
including no-arbitrage, portfolio replication and risk-neutral
measure, we will present the main models that can be used
for pricing and hedging European options, e.g., the Black-
Scholes model, stochastic volatility and jump-diffusion
models, and highlight their assumptions and limitations.
We will cover several types of derivatives such as
European and American options, Barrier options and
Variance Swaps. The course starts with discrete models
where basic understanding of probability theory is
required. After that, this course uses a fair amount of
stochastic calculus. While we would cover the basics of
stochastic calculus, basic knowledge in probability theory
and stochastic calculus is required. Besides attending
class, we strongly encourage students to stay informed on
financial matters, especially by reading daily financial
newspapers such as the Financial Times or the Wall Street
Journal.

Course’s objectives:
This course is primarily designed for the master students
in Quantitative Finance, Banking and Finance.

The expected outcomes: On successful completion of this module, students should


be able to:
- Pass a final exam testing the understanding and
ability to apply concepts and methods seen in
lectures and complementary exercise sessions.

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