Undergraduate Programme and Module Handbook 2010-2011 (archived)
Module ECOS3251: FINANCIAL ENGINEERING
Department: Economics, Finance and Business (Economics and Finance) [Queen's Campus, Stockton]
ECOS3251: FINANCIAL ENGINEERING
| Type | Tied | Level | 3 | Credits | 20 | Availability | Available in 2010/11 | Module Cap | None. | Location | Queen's Campus Stockton |
|---|
| Tied to | NN43 |
|---|---|
| Tied to | N200 |
| Tied to | N420 |
Prerequisites
- Financial Markets and Risk Management (ECOS2141).
Corequisites
- None.
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
- Stock Index Futures
- Currency Forwards and Futures
- Swaps
- Credit Risk
- 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.
- Computer Literacy - eg by applying derivative pricing techniques, value at risk analysis and volatility estimation in Microsoft Excel workshops.
Modes of Teaching, Learning and Assessment and how these contribute to the learning outcomes of the module
- Teaching is by lectures, seminars and workshops. Learning takes place through attendance at lectures, preparation for and participation in seminar classes, and private study. Formative assessment is by means of a piece of written work. Summative assessment is by means of a written examination.
Teaching Methods and Learning Hours
| Activity | Number | Frequency | Duration | Total/Hours | |
|---|---|---|---|---|---|
| Lectures | 22 | 1 Per Week | 1 Hour | 22 | |
| Seminars | 5 | 1 in term 1, 4 in term 2 | 1 Hour | 5 | ■ |
| Workshops | 3 | 3 in term 1 | 1 hour | 3 | ■ |
| Preparation and Reading | 170 | ||||
| Total | 200 |
Summative Assessment
| Component: Examination | Component Weighting: 100% | ||
|---|---|---|---|
| Element | Length / duration | Element Weighting | Resit Opportunity |
| One written examination | 2 hours 15 mins | 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