FM408E Half Unit
This information is for the 2021/22 session.
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 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 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.
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.
Continuous assessment (100%) in the LT.
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.
Important information in response to COVID-19
Please note that during 2021/22 academic year some variation to teaching and learning activities may be required to respond to changes in public health advice and/or to account for the differing needs of students in attendance on campus and those who might be studying online. For example, this may involve changes to the mode of teaching delivery and/or the format or weighting of assessments. Changes will only be made if required and students will be notified about any changes to teaching or assessment plans at the earliest opportunity.
Total students 2020/21: Unavailable
Average class size 2020/21: Unavailable
Controlled access 2020/21: No
Value: Half Unit
Personal development skills
- Team working
- Problem solving
- Application of information skills
- Application of numeracy skills
- Commercial awareness
- Specialist skills