Undergraduate Programme and Module Handbook 2005-2006 (archived)
Module ECOS3251: FINANCIAL ENGINEERING
Department: ECONOMICS FINANCE AND BUSINESS (BUSINESS FINANCE) [Queen's Campus, Stockton]
ECOS3251: FINANCIAL ENGINEERING
| Type | Tied | Level | 3 | Credits | 20 | Availability | Available in 2005/06 | Module Cap | None. | Location | Queen's Campus Stockton |
|---|
| Tied to | N200 |
|---|---|
| Tied to | N3T9 |
| Tied to | N420 |
Prerequisites
- All compulsory Level 1 and Level 2 Business Finance modules.
Corequisites
- All compulsory Level 3 modules.
Excluded Combination of Modules
- None.
Aims
- This module aims to introduce the theory and practice of Financial Engineering, highlighting concepts, products and strategies.
Content
- Introduction to option contracts and stochastic calculus
- Option properties
- Derivation of Black and Scholes (1973) and the pricing of options written on different underlying assets
- The Binomial Asset Pricing Model, American-style and exotic options
- Corporate Securities with Option Characteristics & Real Options
- Interest Rate Derivatives
- Universal Stock Futures
- Stock Index Futures
- Currency Forwards and Futures
- Swaps
- Credit Risk
- Portfolio Insurance
- Estimating Volatility and Correlation
- Value at Risk
Learning Outcomes
Subject-specific Knowledge:
- By the end of the module students should: be able to appreciate modern financial engineering and financial innovation.
- understand the role, use and pricing of complex derivatives and the numerical techniques needed for derivative pricing.
Subject-specific Skills:
- have practiced skills of problem solving and critical thinking.
- have practiced numerical and analytical problem solving
- acquired excel based option pricing and risk management applications
Key Skills:
- Written Communication - through a summative examination.
- Planning, Organisation and Time Management - e.g. by preparing for examinations.
- Problem Solving and Analysis - e.g. by applying the necessary analytical and quantitative skills, as well as the ability to manipulate concepts in financial engineering, undertaking assessed work.
- Initiative - e.g. searching relevant literature and information in preparation for exams
- Numeracy - e.g. by applying core mathematical and statistical skills to answer a range of examination questions.
Modes of Teaching, Learning and Assessment and how these contribute to the learning outcomes of the module
- Teaching is by lectures, tutorials and support for student-centred learning. Learning takes place through attendance at lectures, preparation for and participation in tutorial classes and private study (inlcuding student-centred learning). Formative assessment is by means of one piece of written work of 1500 words. Summative assessment is by means of an unseen written examination of two and a quarter hours duration.
Teaching Methods and Learning Hours
| Activity | Number | Frequency | Duration | Total/Hours | |
|---|---|---|---|---|---|
| Lectures | 22 | 1 Per Week | 1 Hour | 22 | |
| Seminars | 8 | 4 in Each of the First Two Terms | 1 Hour | 8 | |
| Preparation and Reading | 170 | ||||
| Total | 200 |
Summative Assessment
| Component: Examination | Component Weighting: 100% | ||
|---|---|---|---|
| Element | Length / duration | Element Weighting | Resit Opportunity |
| two-and-a-quarter-hours examination | 100% | ||
Formative Assessment:
One piece of written work of up to 1500 words.
■ Attendance at all activities marked with this symbol will be monitored. Students who fail to attend these activities, or to complete the summative or formative assessment specified above, will be subject to the procedures defined in the University's General Regulation V, and may be required to leave the University