FM408 Half Unit
Financial Engineering
This information is for the 2024/25 session.
Teacher responsible
Dr Jean-Pierre Zigrand
Availability
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.
This course does not permit auditing students.
Pre-requisites
Students must have completed either Asset Markets (FM423 or FM423E) and Corporate Finance (FM422 or FM422E) or Financial Economics (FM436)
Students will be expected to show some familiarity with calculus (including stochastic calculus) and statistics
Course content
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 and volatility derivatives and to structured products.
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.
Teaching
30 hours of lectures in the WT.
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.
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, 2nd Edition, by Jim Gatheral, and The Volatility Smile by Derman, Miller and Parlk. 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.
Assessment
Continuous assessment (100%) in the WT.
Key facts
Department: Finance
Total students 2023/24: Unavailable
Average class size 2023/24: Unavailable
Controlled access 2023/24: No
Value: Half Unit
Course selection videos
Some departments have produced short videos to introduce their courses. Please refer to the course selection videos index page for further information.
Personal development skills
- Team working
- Problem solving
- Application of information skills
- Communication
- Application of numeracy skills
- Commercial awareness
- Specialist skills