Dr Jean-Pierre Zigrand

This course is available on the MSc in Finance (full-time), MSc in Finance and Economics and MSc in Finance and Private Equity. This course is not available as an outside option.

Students will be expected to show some familiarity with calculus and statistics.

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 R and VBA.

30 hours of lectures in the LT.

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, 2nd Edition, 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.

Exam (80%, duration: 2 hours) in the main exam period.
Project (20%) in the LT.