Dr Jean-Pierre Zigrand

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

Students must have completed FM422/FM422E Corporate Finance and FM423/FM423E Asset Markets, or FM436 Financial Econometrics. 

Students will be expected to show some familiarity with calculus (including stochastic calculus) and statistics

This course 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, FX, commodities, volatility and correlation trading strategies, and to structured products. We study selected case studies in order to gain a better understanding of their practical, sometimes live, usage. We also implement the models numerically in R and VBA.

30 hours of lectures in the LT.

This course is taught in the interactive lecturing format. There is no distinction between lectures and classes/seminars; there are “sessions” only, and the pedagogical approach in each session is interactive. There will be extra introductory lessons on the mathematical concepts required and on R coding tailored to the course.

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, and The Volatility Smile by Derman, Miller and Park. Background reading can be found in Volatility: Practical Options Theory by Adam Iqbal, Derivatives Markets by Robert McDonald or Options, Futures and Other Derivatives by John Hull.

Continuous assessment (100%) in the LT.