MN50806: Financial engineering
[Page last updated: 23 October 2023]
| Academic Year: | 2023/24 |
| Owning Department/School: | School of Management |
| Credits: | 6 [equivalent to 12 CATS credits] |
| Notional Study Hours: | 120 |
| Level: | Masters UG & PG (FHEQ level 7) |
| Period: |
- Semester 2
|
| Assessment Summary: | EXOB 100% |
| Assessment Detail: |
- MN52091 Financial Engineering: Exam (EXOB 100%)
|
| Supplementary Assessment: |
- Like-for-like reassessment (where allowed by programme regulations)
|
| Requisites: |
|
| Learning Outcomes: |
By the end of the unit, you will be able to:
- Understand advanced topics in derivatives pricing and derive solutions that extends the basic assumptions of the Black-Scholes pricing equation.
- Use common numerical techniques that are widely applied in practice and evaluate their performance in terms of price accuracy and speed of calculations.
- Formulate and understand valuation techniques for advanced derivative products, most notably for mortgage-backed securities, credit default swaps and collaterized debt obligations.
- Code simple pricing algorithms in popular statistical languages.
|
| Synopsis: | Develop a broad understanding of derivatives and how they are used for investment, risk management and trading decisions. You will learn mathematical and computational techniques to value and hedge a variety of derivatives and structured securities.
|
| Content: | This unit introduces students to some more advanced topics in derivatives pricing. The first part consists of an extension of the assumptions of the Black-Scholes equation and introduces common numerical techniques that are widely applied in practice. In the second part structured finance products are introduced and valuation techniques discussed.
Key elements to be included:
- Black-Scholes pricing model and beyond
- Stylised facts in option pricing (volatility surfaces)
- Numerical techniques (Binomial lattices, Monte-Carlo simulation, Finite differences) Pricing Mortgage-backed securities
- Modelling and pricing corporate default using CDS derivatives
- Collateralized Debt Obligations and their use in structured finance
|
| Course availability: |
MN50806 is Optional on the following courses:
Department of Economics
|
Notes: - This unit catalogue is applicable for the 2023/24 academic year only. Students continuing their studies into 2024/25 and beyond should not assume that this unit will be available in future years in the format displayed here for 2023/24.
- Courses and units are subject to change in accordance with normal University procedures.
- Availability of units will be subject to constraints such as staff availability, minimum and maximum group sizes, and timetabling factors as well as a student's ability to meet any pre-requisite rules.
- Find out more about these and other important University terms and conditions here.
|
