Program content

In order to become a "Certified Financial Engineer", a case study must be completed under the Professional Excellence pathway. Under the Academic Excellence pathway a case study as well as either an oral or a written examination in the following subject areas must be completed:

  • Financial engineering with options and futures
    • Pricing of futures
    • Binomial model, Black Scholes and Black Scholes Merton model
    • Greeks
    • Basic strategies
    • Bullish, bearish and neutral option strategies
    • Situational application of various strategies
       
  • Financial engineering in risk management
    • Skewness and kurtosis
    • Moving volatility
    • EWMA, ARCH, GARCH models
    • Value at Risk and Conditional Value at Risk
    • Extreme value theory
    • Historical simulation and Monte Carlo simulation
       
  • Financial Engineering in Corporate Finance
    • Professional company valuation on perfect capital markets
    • Identical company values with the WACC, total cash flow, APV and equity approach
    • Professional company valuation on imperfect capital markets
    • Modelling of risks in the business plan
    • Simulation-based company valuation
    • Simulation-based multiples