Asset Class Foreign Exchange

short repetition of the most common products in this asset class; potential benchmarks for this asset class; active vs. passive strategies; estimation of the long-term return distribution of exchange rates; quantitative forecast models for the short-/mid-term distribution of exchange rates (e.g. time series analysis, neural networks, multiple regression on macro variables) trading strategies for this asset class controlling an FX portfolio using derivatives; selection and optimisation for an FX portfolio: performance and attribution analysis for an FX portfolio

Mode of delivery

face to face



Recommended or required reading and other learning resources/tools

Shani Shamah, A Foreign Exchange Primer, 2nd edition, Wiley, 2008; John J. Stephens, Managing Currency Risk Using Financial Derivatives, Wiley, 2001; Uwe Wystup, FX Options and Structured Products, Wiley, 2006

Planned learning activities and teaching methods

Integrated class

Assessment methods and criteria

The final evaluation of this course relies on continuous assessment (30 points) and a written final exam (70 points). The rules for the continuous assessment (e.g. assignments, presentations, in-class contributions, quizzes) are outlined in the syllabus of the course.

Prerequisites and co-requisites

Courses of the 1st semester


Degree programme

Quantitative Asset and Risk Management (Master)



ECTS Credits


Language of instruction




Academic year



2 SS



Learning outcome

After the successful completion of the course, students are able to elaborate on the characteristics of the asset class foreign exchange. They are capable of analysing foreign exchange rate based products with special focus on the risks of these products. Furthermore, they can construct simple forecasting models for this asset class and utilize the results of these forecasting models in a portfolio allocation and selection process. Furthermore, they have the ability to conduct performance and attribution analyses for this asset class.

Course code