FM408E Half Unit
Financial Engineering
This information is for the 2015/16 session.
Teacher responsible
Dr Jean-Pierre Zigrand
Availability
This course is available on the MSc in Finance (part-time). This course is not available as an outside option.
Pre-requisites
Students will be expected to show some familiarity with calculus and statistics.
Course content
Provides a thorough grounding in the theory and practice of financial engineering. The emphasis is on the application of derivatives pricing and hedging methodology to equity and volatility derivatives and to structured products.
This syllabus lists and describes the topics covered in this course. In a nutshell, the course aims to cover the basics in derivatives theory, and to apply them to a multitude of financial securities and structured products, with a special emphasis on recent products in the equity and volatility derivative worlds. We review selected case studies in order to gain a better understanding of their practical usage. We also implement the models numerically in Excel, VBA or Matlab.
Teaching
30 hours of lectures in the MT.
Indicative reading
Based on a set of extensive lecture notes. No one book covers the material of the entire course. Books recommended include The Volatility Surface: A Practitioner's Guide by Jim Gatheral, Option Pricing Models and Volatility by Maurice Rouah and Gregory Vainberg, Derivatives Markets, 2nd edition" by Robert McDonald, Options, Futures and Other Derivatives by John Hull, Principles of Financial Engineering by Salih Neftci as well as Keith Cuthbertson and Dirk Nitzsche's Financial Engineering.
Assessment
Exam (80%, duration: 2 hours) in the main exam period.
Project (20%) in the LT.
Key facts
Department: Finance
Total students 2014/15: Unavailable
Average class size 2014/15: Unavailable
Controlled access 2014/15: No
Value: Half Unit
Personal development skills
- Team working
- Problem solving
- Application of information skills
- Communication
- Application of numeracy skills
- Commercial awareness
- Specialist skills