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

Guidelines for interpreting course guide information

Personal development skills

  • Team working
  • Problem solving
  • Application of information skills
  • Communication
  • Application of numeracy skills
  • Commercial awareness
  • Specialist skills