Suspended in 2025/26
FM408E      Half Unit
Financial Engineering

This information is for the 2025/26 session.

Course Convenor

Prof Dimitri Vayanos

Availability

This course is not available as an outside option to students on other programmes. This course uses controlled access as part of the course selection process.

All students on a programme listed under the Course Availability will be given a place. The course is not capped.

Please contact finance.teachingmanager@lse.ac.uk with any queries.

This course is not capped, any eligible student that requests a place will be given one.

Requisites

Co-requisites:

Either before taking this course, or in the same year as this course, students must complete:

FM436

or

((FM422 or FM422E) and (FM423 or FM423E))

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 Winter Term.

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%)


Key facts

Department: Finance

Course Study Period: Winter Term

Unit value: Half unit

FHEQ Level: Level 7

CEFR Level: Null

Total students 2024/25: Unavailable

Average class size 2024/25: Unavailable

Controlled access 2024/25: No
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