Not available in 2024/25
FM408E      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 is not capped, any eligible student that requests a place will be given one.

Pre-requisites

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

Students will be expected to show some familiarity with 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, 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.

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. There will be extra introductory lessons on the mathematical concepts required and on R coding tailored to the course.

Indicative reading

Based on a set of extensive lecture notes. No one book covers the material of the entire course, and no books are required. 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 C. Hull.

Assessment

Continuous assessment (100%) in the WT.

Key facts

Department: Finance

Total students 2023/24: 50

Average class size 2023/24: 50

Controlled access 2023/24: Yes

Value: Half Unit

Guidelines for interpreting course guide information

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