Download Financial Engineering Module: FR3200 at Cass Business School and more Study notes Engineering in PDF only on Docsity!
MODULE SPECIFICATION – UNDERGRADUATE PROGRAMMES
KEY FACTS
Module name Financial Engineering Module code FR School Cass Business School Department or equivalent UG Programme UK credits 15 ECTS 7. Level 6 Delivery location (partnership programmes only)
MODULE SUMMARY
Module outline and aims
New derivatives and engineered products are entering the market place regularly. These products are increasingly complex, often with dual, i.e., equity and fixed income characteristics. This module provides the key tools and techniques for creating synthetic assets as well as methods for identifying fair market value. The course provides an in- depth analysis of fixed income structuring, equity options and structured volatility dependent products
Content outline
-Introduction to Financial Engineering and Course overview
-Fixed Income Structuring: The Building Blocks; A Financial Engineer’s View of Duration and Convexity.
- Valuation of Fixed Income Derivatives (Swaps, Forward Rate Agreements, Caps, Floors, Vanilla Options on Discount Bonds, Interest Rate Swaptions)
-Factor Analysis: A Detailed Application on the Yield Curve (Principal Components Analysis, Hedging in the Treasury Bond Markets, Butterfly Trades)
- Structured Floating Rate Notes
- Options/Futures Concepts, Fundamental Strategies, Black&Scholes Valuation
-Stock Index Options
-Risk Neutral Valuation and the Binomial Model, American Options
-Volatility as an Asset Class, Volatility Swaps and the Log Contract
Pre-requisite Module FR2211 Derivatives Trading and Hedging
WHAT WILL I BE EXPECTED TO ACHIEVE?
On successful completion of this module, you will be expected to be able to:
Knowledge and understanding:
- Price different derivative securities with particular emphasis in the areas of Interest Rate and Equity Products.
- Have a clear and thorough understanding of a number of structured products, their uses and applications
- Be able to use a wide array of mathematical models in complex valuation and hedging problems that arise in financial engineering
- Comprehend the applications and uses of Financial Engineering.
Skills:
- Evaluate exposure of an organisation to different types of risk.
- Measure and manage various financial risks
- Work effectively in group situations
- Contribute to the shaping and implementation of risk management strategies
- Make use of IT as appropriate to perform tasks
- Understand and analyse different types of risk and apply the appropriate hedging instrument in each case.
- Communicate effectively with non-specialists in the area.
- Develop risk management strategies.
demonstrate to achieve a certain grade or mark in an assessment. Assessment Criteria and Grade-Related Criteria for module assessments will be made
Feedback on assessment
Following an assessment, students will be given their marks and feedback in line with the Assessment Regulations and Policy. More information on the timing and type of feedback that will be provided for each assessment will be available from the module leader.
Assessment Regulations
The Pass mark for the module is 40%. Any minimum qualifying marks for specific
assessments are listed in the table above. The weighting of the different components
can also be found above. The Programme Specification contains information on what
happens if you fail an assessment component or the module.
INDICATIVE READING LIST
A Comprehensive set of lecture notes will make the compulsory reading. In addition, the following books will be helpful as additional reading for various parts of the syllabus:
Kenneth D. Garbade, “Fixed Income Analytics”, MIT press, third edition, 1999: This manuscript is not a textbook in the traditional sense. It is rather, a collection of articles written by an expert market participant and academic in the areas of money markets and in topics in Fixed Income Engineering and Risk Management.
: John Hull , “Options, Futures and Other Derivatives”, Prentice Hall, 6th Ed, 2005.This classic textbook (which is regularly updated in successive editions) provides a solid exposition of options, and other derivative securities, their valuation and usage in financial engineering and risk management.
Rodert G. Tompkins, “Options Analysis”, Macmillan , 1994. This influential manuscript written by an expert practitioner provided one of the earliest and most accomplished exposition of option valuation and trading strategies.
Version: 2. Version date: January 2015 For use from: 2014-
Appendix: see http://www.hesa.ac.uk/content/view/1805/296/ for the full list of JACS codes and descriptions
CODES
HESA Code Description Price Group 133 Business and Management Studies
D
JACS Code Description Percentage (%) N300 The study of financial systems, regulations and reporting.
