FM408 Half Unit
Financial Engineering
This information is for the 2014/15 session.
Teacher responsible
Dr Jean-Pierre Zigrand OLD 4.22
Availability
This course is available on the MSc in Finance (full-time), MSc in Finance (part-time) and MSc in Finance and Private Equity. 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
20 hours of lectures and 10 hours of class teaching. MSc Finance (part-time): taught MT (evenings). MSc Finance (full-time): taught LT (daytime).
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 2013/14: 42
Average class size 2013/14: 9
Controlled access 2013/14: Yes
Lecture capture used 2013/14: No
Value: Half Unit
Personal development skills
- Team working
- Problem solving
- Application of information skills
- Communication
- Application of numeracy skills
- Commercial awareness
- Specialist skills