MSc in Accounting and Finance, Department of Accounting and Finance
The course explores the theory and applications of financial engineering, focusing on the design, structuring, and pricing of financial instruments such as options, futures, swaps, and other derivative securities. It examines their applications in financial and investment risk management while providing a strong foundation in the mathematical methodologies underpinning financial engineering, including applied stochastic processes and numerical methods.
By the end of the course, students will be able to:
- Grasp fundamental concepts such as no-arbitrage, risk-neutral valuation, and parity conditions.
- Value various financial derivatives, including forwards, futures, options, and swaps.
- Apply financial derivatives for corporate hedging strategies.
- Analyze the role of financial markets and financial engineering in risk management.
To facilitate comprehension, the course incorporates algebra, spreadsheets, and simulations to reinforce mathematical concepts.
The course consists of 12 sessions, each lasting 180 minutes, spread across 12 separate days. Course materials, including readings from selected chapters in Hull, optional supplementary readings, and PowerPoint slides, will be distributed in hard copy and made available for download on the course website. Students are encouraged to read the relevant chapters from Hull before each class session.
Students gain an understanding of key financial engineering concepts and develop the ability to apply mathematical models to various financial instruments, including:
- Financial Instruments: Forwards, forward rate agreements, futures, swaps, options, including calls, puts, caps, and floors.
- Asset Classes: Bills, bonds, and other interest rate instruments, stock indices, commodities, currencies, and inflation-related assets.
The course aims to equip students with the necessary tools to navigate financial markets and apply engineering techniques to risk management and financial decision-making.