VVZ API is not affiliated with ETH Zurich. Data might be outdated or incorrect. Please view the official ETHZ Vorlesungsverzeichnis for binding information.

401-8905-00L 4.5 Credits NDS D-MATH
You're viewing possible stale or outdated data. Please check the latest semester for more up-to-date information.

Financial Engineering I

Lecturers & Examiners: Dr. Paolo Vanini
Not eligible for credits in • Mathematics Master > Application Area > Finance • Computational Science and Engineering Master > Fields of Specialization > Financial Engineering
VVZ CR n/a

Last Updated: 2026-02-05 15:23:57

Abstract

In this first term we will focus on the theory and practice of products. Our aim is to give students a solid understanding of financial engineering strategies from both a theoretical and a practical perspective. We will illustrate the pricing and hedging methods for a variety of widely-used financial instruments and will emphasize how these products are used in practice.

Objective

Cash Flow Engineering and Forward Contracts, Interest Rate Derivatives, Swap Engineering, Exchange Traded Funds, Mechhanics of Options, Option Greeks and Their Uses, Engineering Convexity Positions, Profit & Loss, Credit Derivatives, The Credit Crunch 2008, New Risks and Alternative Playoffs.

Content

This course is the first part of a two-block course on financial engineering and is intended for students enrolled in the Master of Advanced Studies in Finance program. In this first term we will focus on the theory and practice of products. Our aim is to give students a solid understanding of financial engineering strategies from both a theoretical and a practical perspective. We will illustrate the pricing and hedging methods for a variety of widely-used financial instruments and will emphasize how these products are used in practice. 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.

Resources

Literature

S. Neftci, Principles of Financial Engineering. Academic Press, 2004

General Information

Language
English
Levels
NDS
Frequency
Yearly recurring

Examination

Type
end-of-semester examination
Exam repetition not possible.

Course Components

Type Title Time & Place Hours
lecture Financial Engineering I
**Kurs an der Uni Zürich** Lehrveranstaltungsnummer: 3878 Semesterbeginn Uni Zürich am 15.09.2008
  • Tue 16:15-19:00 (ML H 44)
  • 16.09 Date 16:15-18:00 (ML F 40)
  • 16.09 Date 18:15-19:00 (ML F 40)
3 h weekly

Offered In