Course description
Financial innovation and globalisation have created new investment opportunities, risks and instruments. In order to exploit these opportunities, control such risks and understand the complex structure of derivative securities, participants should be at ease with sophisticated mathematical methods and statistical techniques.
Students acquire a sound knowledge of mathematical finance and stochastic calculus, derivatives valuation, financial engineering, quantitative risk modelling, numerical methods, econometric techniques, and benefit from the active research agenda of the Centre for Mathematical Trading and Finance in the areas of derivatives pricing and risk management.
Thanks to the excellent reputation of the course, and our site in the heart of the City of London, the course complements theory with current market practice; leading practitioners from quantitative and trading departments of financial institutions teach regularly on the course. Moreover, our dealing room provides trading applications using real-time data. Students are also given the opportunity to liaise with companies for short-term assignments or for their dissertations.
Course Content - Ahead of the game
We review all our courses regularly to keep them up-to-date on issues of both theory and practice. Consequently, there may be some change to the detailed content of the modules and occasionally to module titles.
To satisfy the requirements of the degree programme students must complete:
* nine core courses
and
* five electives
or
* two electives and a Business Research Project
We review all our courses regularly to keep them up-to-date on issues of both theory and practice, therefore there may be some change to the detailed content of the modules and occasionally to module titles.
Two Induction Weeks The Mathematical Trading & Finance course starts with two compulsory induction weeks, mainly dedicated to:
* an introduction to careers in finance and the opportunity to speak to representatives from over 75 companies during a number of different industry specific fairs.
* a refresher course of advanced financial mathematics, statistics, computing and electronic databases
* Term 1
Four core modules (30 hours each)
Advanced Financial Econometrics - (Part-time Year 2)
This core module provides an extended presentation of the econometric techniques that have been developed in the past decade to model the main characteristics of financial time series. The theory is complemented with an empirical investigation of the term structure of interest rates and bond markets, the foreign exchange market and equity markets.
Derivatives 1 - (Part-time Year 1)
This core module provides a solid foundation in the study of forwards, futures and swaps. Takes a practical, hands-on blended approach in which dealing room sessions enable students to familiarise themselves with market practice.
Quantitative Asset Pricing - (Part-time Year 2)
This core module provides a thorough understanding of recent advances in cash securities valuation and management. Presents a unified approach to portfolio and risk theory, and aids the theoretical foundation of investment and risk management strategies.
Mathematical Finance and Stochastic Calculus - (Part-time Year 1)
This core module provides a thorough and rigorous treatment of the modern mathematical tools used in modelling and valuation of financial derivative products. Presents the development of the central theoretical arguments and the specialised quantitative methods in a unified way. Covers the modelling of uncertainty and information revelation in discrete and continuous-time pricing models using stochastic processes and the analytical derivation of the Black and Scholes/Harrison and Kreps continuous-time contingent claims pricing framework.
* Term 2
Four core modules (30 hours each)
Derivatives 2 - (Part-time Year 1)
This core module provides a rigorous foundation in the pricing of equity derivatives beyond the standard Black and Scholes framework. American and Bermudan-type of early exercise is analysed, cash flows in the form of dividends are incorporated, stochastic interest rates, volatility and jump diffusion models are thoroughly examined, volatility smiles and surfaces are introduced in the valuation process. Exotic equity options like Barrier, Compound, Chooser, Asian, and Lookback are both priced and hedged.
Numerical Methods in VBA - (Part-time Year 1)
This core module covers the computational aspects of complex valuation problems analysed in the mathematical finance and derivatives modules. It provides advanced modelling in Finance using Excel and VBA and places particular emphasis on the following applications: Binomial and Trinomial Trees; Monte Carlo simulation; finite difference methods; methods of free boundaries; implied volatility trees; and lattice methodologies for exotic options.
Risk Analysis and Modelling - (Part-time Year 2)
This core module examines the various types of financial risk such as market risk, credit risk, liquidity risk, model risk, volatility risk and kurtosis risk. Covers risk measurement techniques for different types of portfolios (equity, fixed income and currency) such as duration, portfolio beta, factor sensitivities, value-at-risk, dynamic portfolio distribution analysis, and extreme value analysis. Examines popular credit risk models such as CreditMetrics, CreditRisk+, CreditPortfolio View.
Structured Equity and Energy Derivatives - (Part-time Year 2)
The first part of this core module advances an engineering approach to the design of equity products that allows students to create their own derivatives solutions to an endless variety of problems. Structured equity notes and equity-linked securities are increasingly used for the management of exposure to a large variety of risks, the enhancement of yields or the reduction of funding costs, the exploitation of the tax, accounting and regulatory environment. The second part deals with modelling energy prices (oil, gas, electricity), the construction of energy forward curves and the valuation of exotic energy derivatives.
* Term 3
Five electives (18 hours each)
OR
Two electives and a project
Electives
You may choose from a wide variety of electives. For example:
* Advanced Financial Engineering and Credit Derivatives
* Fixed Income Arbitrage and Trading
* Advanced Options Trading
* Trading and Hedging in the Foreign Exchange Market
* Advanced Financial Modelling and Forecasting
* Technical Analysis and Trading Systems.
* Mergers, Acquisitions and Divestments
* Finance in Emerging Markets
* Behavioural Finance
* Market Microstructure and High Frequency Econometrics
* Matlab
* Private Equity Investment
Research Methods module
This compulsory module trains students to undertake independent research either in the context of a single organisation or by using third-party sources. It provides the necessary tools and skills to initiate, research and write up a business project and includes training in research methodology, availability of data sources, project writing, time-management and presentation skills. These skills will be invaluable to students in their future career whether or not they choose to complete a project.
