MSc Financial Engineering

The ICMA Centre’s financial engineering degree is highly respected by quantitative analysts and their employers. The credit crunch and subsequent events have emphasised the need to develop better pricing and better hedging models for all complex products. The practical and quantitative skills that you will develop on the ICMA Centre’s Financial Engineering MSc will equip you to meet this challenge. Our compulsory modules provide a firm grounding in probability theory, stochastic calculus, derivatives pricing, quantitative and numerical methods, structuring products, volatility analysis, and the modelling of credit, equity, foreign exchange and interest rate derivatives. We also provide a thorough training in C++ and other programming tools. Optional modules will allow you to focus on risk analysis, portfolio management, designing trading strategies or econometric analysis. This newly structured degree aims to further enhance the strong reputation of its precursor – the MSc in Financial Engineering and Quantitative Analysis, that was established in 1999. A good background in mathematics is required or acceptance to this programme – see entry requirements below.

Entry Requirements

Entry requirements

Undergraduate Degree Minimum 2:1 or the equivalent from an overseas institution*.
Degree Discipline Quantitative discipline – must have a very good existing level of numeracy. Mathematical and engineering degrees are preferred.
GMAT We may ask you to submit a GMAT score if we think it appropriate in your individual case. For example, if you have been out of education for more than a few years or have little evidence of any numerical ability.For information on the GMAT and the location of test centres worldwide, please visit www.mba.com

* Please note that due to increasing competition for places on our Masters programmes our entry requirements may change. We operate a rolling admissions system and you are therefore advised to apply early in order to be sure of your place on our programmes. We experience high levels of demand, and it is possible we might have to close applications to some programmes once places are filled.

English requirements

If English is not your first language, you may be required to take one of the following:

TOEFL (Test of English as a foreign language): Overall score of 100 with no less than 20 in Listening, Writing and Reading and 21 in Speaking.

IELTS (British Council International English Language Test): Score of 6.5 overall with no component less than 6 when attending the 6-week pre-sessional English course offered by the University of Reading. Entry to this pre-sessional course with a score of 6.5 fulfils your English language requirement.

Please note that students not attending a Pre-Sessional course will need to pass IELTS with an overall score of 7 and no component less than 6.0. For more options please see the International Study and Language Website or email a member of the Postgraduate Admissions team.

Contact

For more details, contact: admissions@icmacentre.ac.uk

Fees

Fees 2014-15

Full-time
MSc Financial Engineering £19,750

Fees are the same for both EU and overseas students. Living expenses are in addition to the above fees. Overseas full-time participants can expect to spend approximately £9,400 on additional living expenses during the course of their studies. Home/EU full-time participants can expect to spend approximately £8,000 on additional living expenses during the course of their studies. Flexible participants can expect to spend approximately £5,000 during their part 2 studies.

How to Apply

Full-Time MSc Applications

The ICMA Centre operates on a rolling admissions basis, meaning that prospective students can apply for our programmes throughout the year, however we do advise to apply early in the year. We aim to return a decision within 4-6 weeks of receiving your application.

Full-time applicants can apply online.

Learning Options

Learning Options

Full-time:  9 months

Full-time: 12 months

FAQs

Is there an application fee?
Yes, there is a £30 application fee (one charge regardless of how many courses you apply for). You can pay this by card at http://www.icmacentre.ac.uk/netbanx-payments (please contact us if you require details of alternative payment methods).

Can I apply for more than one course?
Yes, you are welcome to apply for more than one course. Please also note that if we cannot offer you a place on your chosen course we may suggest a suitable alternative. If you wish to discuss which courses may best suit your career aspirations you are welcome to contact our careers team. You can find more details at http://www.icmacentre.ac.uk/study/careers-and-graduate-destinations

Will I need to take an English test i.e. IELTS or TOEFL?
An English test may be required. You would be advised of this if we were to make you an offer. You would also be advised of Pre-Sessional courses available. English conditions are monitored by the Postgraduate Admissions office. If you have a question regarding English please contact pgadmissions@reading.ac.uk

I have a conditional offer but have not met my academic conditions. Can I keep my place on the course?
If your results are much lower than our requirements we may not be able to offer you a place. However, if you only missed out by a small amount we will ask the admissions team to review your results and make a decision. This will take a few days although we will try to get back to you as soon as possible.

Can I defer my place?
We usually allow deferrals for one year. Please email admissions@icmacentre.ac.uk if you wish to request a deferral.

Will I have to pay a deposit?
Yes, we require a non-refundable £1000 deposit within six weeks of receiving your offer recommendation. We advise waiting for your official offer (listing all conditions) before paying this. Please notify us when you have paid your deposit so that we do not send you any reminders.

What will I need to make an application?
You will need a card to pay the £30 fee (please contact us if you require alternative payment methods). The very least we need, aside from your completed application form and fee, is a current academic transcript. All other items can be set as conditions to be met at a later date (e.g. degree certificate, references etc).

Do you need references?
Yes, we require 2 references. If you have been out of education for longer than 5 years we are happy to accept professional references from a current manager/supervisor. When submitting your online application you will be asked to enter contact details for your referees. The application system will then send an automated request to your referees. Please note that if you have entered their personal email address (rather than professional), we will require the references to be uploaded on professional headed paper.

How many intakes do you have per year?
Our Full-Time courses only have one intake – September.

Will I need to take a GMAT?
We will need to assess your application to determine whether a GMAT is necessary. A GMAT condition tends to be applied when there is not sufficient evidence of a satisfactory level of numeracy or if candidates have been out of education for a significant period of time. We advise submitting an application as early as possible so that you have plenty of time to satisfy this condition if applied to your offer.

Are there any courses which do not have a quantitative requirement?
Yes, a GMAT is not required for the following courses:

 

  • MSc Capital Markets, Regulation & Compliance
  • MSc International Shipping & Finance
  • MSc Investment Banking & Islamic Finance

Please note that we do not assign a GMAT condition for MSc Financial Engineering applications as we require a quantitative degree for admission.

What is the application deadline?
We have not set an absolute deadline yet but recommend applying before the end of June to ensure there is enough time to complete all administrative procedures.

How do I apply?
Please submit an online application at http://www.reading.ac.uk/Study/apply/pg-applicationform.aspx . You will be prompted to upload your documents.

How long will the decision take?
We aim to give you a decision within 5-10 working days. It can be shorter or longer than this depending on the time of year. Offers need to be confirmed by Postgraduate Admissions; this takes a further 2-3 weeks after we give you the offer recommendation.

You have recommended that I am made an offer but I have not received my official offer yet. Why is this?
It usually takes 2-3 weeks for Postgraduate Admissions to confirm an offer and give you further details of your conditions etc. We ask you to be patient during this time. However, if it has been longer than 3 weeks, please email us at admissions@icmacentre.ac.uk and we will follow it up for you. Before you do this please check the email has not gone to your SPAM folder.

Why have I been rejected?
The most common reason that we cannot offer a place is that the admissions team do not feel that you meet our entry requirements. If you wish to question this, you are welcome to email admissions@icmacentre.ac.uk to request feedback. We also reject applications if they are not completed within a certain time frame (usually 1-2 months) – we will send you reminders before this point.

How many students do you take?
Our student numbers vary year to year but we tend to have around 200-350 Postgraduate students and 50-60 Undergraduates. We also co-teach for degrees offered by other departments.

Does the ICMA Centre have a code for the TOEFL/GMAT exam?
The TOEFL code for the University of Reading is 0769 and our GMAT reference is SH0-BR-04

Can I pay my Tuition fee in instalments?
We can offer two instalments – half to be paid before the start of the course and half before the start of part 2. 

Additional information

Careers

Careers in Financial Engineering

Many of our financial engineering graduates are now working as Quants in large London banks and other financial institutions. Others have pursued PhDs and have successful academic careers. Financial instruments are becoming ever more sophisticated, so graduates that understand complex modelling techniques are always in great demand. The high quantitative content of this programme opens many doors to a wide range of careers. You could structure and develop new debt or equity solutions to meet clients funding and hedging needs, or you could become a proprietary trader in exotic derivatives, or a software specialist or a quantitative analyst supporting the traders. There are excellent opportunities on the buy-side, with hedge funds and investment institutions, as well as in investment banking and in software analytics. Opportunities in quantitative research, or with a rating agency, are among the many other attractive alternatives. Outside of mainstream banking and investment, you might also consider firms involved in commodity and energy trading, or the treasury divisions of leading multinationals and management consultancies. For more information regarding graduate destinations, please visit www.icmacentre.ac.uk/careers.

Professional Development and Accreditation

CISI Diploma

Students are eligible for exemption from one Diploma module:

  • Financial Derivatives

Further information is available regarding exemptions in MScs and Professional Qualifications.

Module listing and descriptions

NB. All our Masters degrees comprise a total of 180 credits: 80 credits at Part One and 100 credits at Part Two. Please note that module titles or content may vary each year.

Part 1 Modules

Part 1 Modules

NB: Students may only choose one of either 'Quantitative Methods for Finance' or 'Financial Markets'.

Quantitative Methods for Finance

Module convenor: Dr Ogonna Nneji20 credits

The objective of the module is to give students an introduction to econometrics so that they might understand the analytical techniques used in the finance research literature. Via case studies and computer modelling exercises, students then learn how to apply these techniques to real data. Emphasis is placed on practical applications of the techniques in the global financial markets. Outline Content
  • Simple linear regression
  • Hypothesis testing
  • Multiple regression: the Classical Linear Regression Model (CLRM)
  • Violations of the CLRM assumptions and diagnosis
  • Non-stationarity and testing for unit roots
  • Cointegration and error correction model
  • Economic case studies in finance
  *We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Securities, Futures and Options

Module convenors: Mr Rohit Sonika  | Mr Yeqin Zeng  | 20 credits

Introduces techniques for analysing and valuing different classes of risky assets. It also develops ways of optimally selecting portfolios of such assets and develops models of how these portfolios may be priced in financial markets. The techniques introduced in this module are widely applied in other elements of the programme. The module includes simulated trading sessions in our state of the art dealing rooms, where participants are introduced to real world pricing and trading strategies (INVEST sessions).

Outline Content: Financial assets and investing in securities markets; Investors and their objectives; Risk and capital allocation; Optimal portfolio selection; Capital asset pricing model; Single index and multifactor models; Arbitrage pricing theory; Derivative securities and the no-arbitrage principle; Forwards and Futures contracts; Simple hedging; Options basic properties and trading strategies.

*We reserve the right to change this list should staffing or other changes in circumstance make it necessary

Fixed Income and Equity Investments

Module convenor: Dr George Alexandridis20 credits

Fixed Income and Equity Investments deals with the valuation of fixed income and equity securities. The module focuses on the basic characteristics of each security and the strategies used for approximating their fundamental value and assessing their risk. Its primary aim is to discuss how certain characteristics and relationships can affect the value of fixed income and equity securities and how can they be exploited to form optimal investment strategies. The analytical techniques introduced in this module are widely applied in other elements of the programme.

Outline Content: An introduction to securities,  Applying time-value-of-money (TVM) and probability theory to value financial instruments,  Bond prices and yields, Introduction to default risk, Term Structure of Interest Rates, Interest rate risk, Active Bond Management,  Economic and Industry analysis, Financial Statement Analysis, Equity Valuation, Behavioural Finance and Technical analysis

*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Stochastic Calculus and Probability

Module convenors: Mathematics Department  | Tobias Kuna  | 20 credits

This module introduces to students the mathematical tools of probability, calculus and stochastic calculus needed for the valuation of financial derivatives. The course covers the basic concepts and methods of selected areas of modern probability, calculus and stochastic analysis placing emphasis on the possible applications in finance. Outline content:
  • Probability, Random Variables, their Distributions and Characteristics
  • Transform methods (Laplace, Fourier)
  • Joint Distribution, Conditional Probability and Expectation
  • Independence
  • Law of Large Numbers and Central Limit Theorem
  • Stochastic Processes
  • Different Classes of Stochastic Processes
  • Brownian motion
  • Martingales
  • Integration theory
  • Itô Stochastic Integration
  • Itô Calculus
  • ODE’s, PDE’s and their application in finance (including the heat equation)
  • Stochastic Differential Equations used in finance
  • Change of probability, change of numeraire, and their use in derivatives’ valuation
  *Please note this module may not be available on all programmes

Part 2 Modules (Compulsory)

C++ for Financial Engineering

Module convenor: TBC10 credits

Designed for future quants and financial engineers to introduce them to the main types of problems they will be asked to solve and to make them aware of the range of issues they will have to consider. Financial engineering is the art of designing and implementing innovative solutions to financial problems. This course explores a number of typical problems faced by both financial and non-financial institutions for which a range of solutions, often using derivative products, is possible. In each case we examine the feasibility and relative advantages and disadvantages of alternative solutions, taking into account legal, accounting, tax and regulatory matters as well as risks and returns. By the end of the module, it is expected that students will have reached:
  • A working understanding of main types of derivative and hybrid instruments (equity swap, interest rate swaps, options, convertibles, CDSs, CDOs)
  •  An awareness of the legal, tax, accounting and regulatory environment in which these instruments may be used
  • An understanding of the main types of financial problems face by firms in fund raising, creation of capital, merger and acquisition, long term investments, risk management and incentive schemes
  • A working knowledge of pricing and evaluation methods for derivative products
  Outline Content
  • Facilitation of acquisition and disposal of shares, preparation for mergers – Equity swaps, CVRs and quantity options
  • Tax efficient structures and strategies – Long term investment products, tax efficient financing, executive incentive schemes
  •  Creation of cheap Tier 1 and upper Tier 2 capital for banks – Convertibles and other hybrids
  • Market risk management – Index linked structured products, overlay strategies, dynamic control strategies
  • Credit risk management – credit risk protected loans, CDSs and securitization
  *Please note this module may not be available on all programmes

Essentials of Financial Engineering

Module convenor: Dr Konstantina Kappou10 credits

This module provides an introduction to the basic techniques employed in Financial Engineering; from replication of cash flows, to asset valuation under no-arbitrage assumptions and the law of one price. Students will understand how these methods can be applied to design securities with desired payoff characteristics. They will be able to evaluate complex securities by means of reverse engineering and be aware of possible problems when these methods are applied to real world situations. 

Outline content: Introduction to Financial Engineering, cash flow engineering, basic financial products, interest and forward rates, no-arbitrage and the law of one price; Pricing and hedging by replication, major interest rate (IR) swap structures, IR swaps, currency forwards and cross currencies FX-swaps, options; Structured products, introduction and evaluation; Dynamic strategies for hedging and principal protection; Credit markets: CDS engineering, credit indices and CDO's.

*We reserve the right to change this list should staffing or other changes in circumstance make it necessary

Derivatives Modelling

Module convenor: Dr Emese Lazar20 credits

The  module will convey the basic concepts and analytical methodology for the valuation of derivatives in the standard Black-Scholes framework.

Outline content:

  1. Introduction: forwards and futures, options, trading strategies, the greeks
  2. Discrete time valuation
  3. Continuous time valuation
  4. Black-Scholes model, properties and extensions
  5. Martingale approach
  6. Complete and incomplete markets
  7. Claims on currencies and multiple assets; foreign equity markets
  8. Selected equity, interest rate and credit derivatives

*We reserve the right to change this list should staffing or other changes in circumstance make it necessary

Numerical Methods for Financial Engineering

Module convenor: Dr Emese Lazar20 credits

This module introduces the major numerical methods required for quantitative work in finance, with a particular emphasis on the tools required for the implementation of the major derivative pricing models.

Outline content:

  • Foundations of Numerical Computations
  • Numerical solution of Systems of Linear and Nonlinear Equations
  • Numerical Optimization techniques
  • Calibration methods
  • Interpolation methods
  • Simulation of Stochastic Differential Equations
  • Pricing of financial derivatives Monte Carlo simulations
  • Pricing of financial derivatives with Binomial and Trinomial Trees
  • Pricing of financial derivatives Finite Difference methods
*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Part 2 Modules (Optional)

Choice of 40 credits from:

Portfolio Management

Module convenor: Dr Ioannis Oikonomou20 credits

The module aims to build on the techniques for portfolio selection that will have been introduced in the Valuation of Securities module. The module will address both the theory and practice of portfolio management.
  • The theoretical part will examine the issues involved in constructing an investment portfolio, evaluating the performance of that portfolio, and adjusting its composition through time to ensure that its performance remains optimal. It will also consider the use of derivatives in managing risk.
  • The practical part will provide students with hands-on experience of constructing and managing an equity portfolio.
Outline content
  • Diversification
  • Financial instruments and markets
  • Passive asset allocation
  • Active portfolio management
  • Equity analysis
  • Bond analysis
  • Derivatives for fund management (forwards/futures/swaps/options)
  • Hedging/ portfolio insurance
  • Investment strategies/ Performance measurement
  • Fund management in practice
  *We reserve the right to change this list should staffing or other changes in circumstance make it necessary

Financial Econometrics

Module convenor: Dr Alfonso Dufour20 credits

Building on the material introduced in Quantitative Methods for Finance, this module examines a number of additional techniques that are relevant for financial applications, and in particular for modelling and forecasting financial time series. An introduction to the methods of maximum likelihood estimation and Generalised Method of Moments will be given, and emphasis will be placed on modelling high-frequency data. Case studies from the academic finance literature are employed to demonstrate potential uses of each approach. Extensive use is also made of financial econometrics software to demonstrate how the techniques are applied in practice. By the end of the module, it is expected that the student will be able to
  • Describe, estimate and evaluate a number of different approaches for modeling financial data with particular emphasis on trade data
  • Determine the appropriate class of models to address a particular problem in empirical finance
  • Compare and contrast a number of methods for modeling and forecasting the volatility of financial time series
  • Write programs in a statistical software package in order to achieve particular tasks that cannot be accomplished using built-in functions
  • Comprehend and critically evaluate the use of econometrics in the published academic finance literature
  Outline content
  • Stylised characteristics of financial data
  • Ordinary Least Squares (OLS)
  • Relaxing the OLS assumptions
  • Simultaneous equations models
  • Vector autoregressive models
  • Cointegration
  • Maximum Likelihood estimation method
  • Panel data analysis
  • Simulations methods in econometrics and finance
  *Please note this module may not be available on all programmes

Market Risk

Module convenor: Dr Emese Lazar20 credits

This module provides an understanding of the Value-at-Risk (VaR) framework for market risk assessment and control. The module has a significant practical component with computer-based workshops that are designed to support the lecture material. By the end of the module, it is expected that students will:
  • Understand the latest developments in banking regulations that are the main driving force behind changes in our approaches to risk measurement
  • Outline the foundations of market risk analysis and the basic models for assessing market risk
  • Describe the market risk measurement techniques that are used daily in the front and middle offices of banks; particular emphasis is placed on the appraisal of the covariance matrices that are used to measure the market risk of portfolios
  • Be able to build various Value-at-Risk (VaR) models for market risk for international portfolios of equities, FX, interest rate products, commodities, derivatives etc.
Outline content
  • The characteristics of markets and market risk
  • Capital requirements & RAPM
  • Value at Risk models
  • Advanced VaR models
  • Applications to Equities
  • Applications to Foreign exchange
  • Applications to Interest rate products
  • Applications to Derivatives
  • Applications to Fund management, banking & non-financial firms
  *We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Derivatives Securities: Pricing, Hedging and Trading

Module convenor: Dr Michael Smith20 credits

The module objective is to give students a practical working knowledge of the pricing, hedging and trading of derivative securities, in particular options, via the use of trading simulations and pricing case studies/software. The emphasis of the module is on practical application and it is expected that by the end of the module students will understand and be able to analyse the time/risk dynamics of derivatives in a trading environment.

Outline content: Review of Option Basics, Option Pricing, Option Price Sensitivities: Risks and Trading Applications, Volatility, Volatility Smiles, Trading Strategies, Currency Options 

*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Foreign Exchange and Money Markets

Module convenor: Mr Richard Comotto20 credits

The basic aim of this module is to equip students with a firm understanding of the overall function, structure and operation of the FX and short-term interest rate markets. This will not only provide the technical knowledge required to use and manage the risk in those markets, but will also introduce and illustrate a number of key practical issues relevant to all financial activity, such as balance sheet constraints, risk capital, liquidity and funding issues, and concepts such as the nature of derivatives, OTC markets and MTFs, regulatory arbitrage, netting, fair v market value, basis risk. It aims to demonstrate that there is a small body of arithmetic that applies across the board to all instruments.

Outline content:  1 Common concepts and consistent application of money market arithmetic. 2 The functions and characteristic features of the money market. Basic trading strategies: carry trades; curve trades; other spread trades including trades to profit from changes in the shape of the yield curve; riding the yield curve. 3 Comparison of cash money market instruments: deposits, Treasury bills, bank bills, CP, CD and repo. Special legal, operational and collateral management issues relation to repo. Key indices: LIBOR/LIBID/LIMEAN, other IBORs, EONIA and other OI. The main components of a money market rate of return. Bid/offer spreads and spreads between rates of return on different cash instruments. 4 Interest rate risk in the money market: cash and forward rates. The forward curve and yield curve. Trading against the forward curve. Forward-forward loans and deposits. 5 Money market derivatives: FRA. The mechanics and terminology of FRAs. Use in hedging: early payment and discounting of the settlement amount. 6 Money market derivatives: money market interest rate swaps. Mechanics and terminology. Use in risk-taking, hedging and arbitrage. Pricing and valuing swaps. OIS. 7 Exchange rate conventions. The FX market. Forward FX: pricing, interest rate parity, covered interest arbitrage and synthetic foreign currency borrowing/lending. FX and currency swaps. Forward-forward FX, NDFs and synthetic FRAs.

*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Research Project

Module convenor: Professor Charles Sutcliffe20 credits

The aim of the research project is to allow students to define and execute a piece of research in finance on a topic of their choice, with direction from an academic supervisor and with assistance from a doctoral student support supervisor. The Learning Outcomes of this module are:
  • Successful completion of the research project requires students to define and execute a piece of research in finance.
  • They will be required to seek out and to critically evaluate published literature in a particular field.
  • Students will improve their report-writing skills, learning how to structure their study, and how to place their findings in the wider context
 *We reserve the right to change this list should staffing or other changes in circumstance make it necessary
 

International Securities Markets

10 credits

International Securities Markets applies general valuation risk assessment methods to: fixed income securities, derivatives and markets. It describes the basic characteristics of each fixed-income security, cash and underlying, and develops practical strategies for finding its value and assessing its risk. It also considers how the markets for these securities are related and begins the task of showing how these relationships can be exploited for trading or investment. The analytical techniques introduced in this module are very applied to allow the successful candidate to apply directly to industry the more theoretical market valuation and risk models learned in other core modules taken in the first term.

Outline Content: Fixed income Analysis, Rates Trading and Hedging I, Rates Trading and Hedging II, Credit Analysis and Products I, Credit Analysis and Products II  

*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Bond Market Pricing and Trading Strategies

Module convenor: Dr Andy Bevan20 credits

The main aims of the module are to identify the fundamental determinants of short- and long-term interest rates, learn how to monitor developments in interest rate markets and employ commonly used trading strategies. The course will be based around the work of a research department in an investment bank or asset manager when formulating interest rate strategy. The lectures will provide: (1) the fundamentals of market pricing, (2) practical examples of current market situations, and (3) identification of trading and portfolio strategies. Seminars will focus on market pricing conventions and worked examples.
Outline content:  1. Flow of Funds and the Economics of Interest Rates 2. Monitoring Central Banks and the Determination of Short Rates 3. Pricing and Trading of Short Rate Instruments 4. Fundamentals of Bond Pricing, Duration and Convexity 5. Yield Curve Trading Strategies 6. Trading of Bonds, Bond Forwards and Futures 7. Pricing and Trading of Interest Rate Swaps 8. Corporate Bond Spreads and the Business Cycle 9. Managing Benchmarked Global Bond Portfolios 10. Absolute Return Fixed Income Portfolio Management
*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Corporate Finance

Module convenor: Dr Carol Padgett20 credits

The objective of the module is to introduce students to the main financial decisions taken by companies, examining how those decisions influence the market's valuation of companies.

Outline content: The corporate form and initial public offerings, Valuation: management and measurement of value, Capital budgeting: decisions on fixed assets, Treasury function 1: working capital management and risk management, Treasury function 2: new issues, Treasury function 3: capital structure continued, Dividend policy: dividends and share repurchases, Mergers and acquisitions, De-mergers and leveraged transactions, Bankruptcy.

*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Commodity Derivatives

Module convenor: Dr Konstantina Kappou10 credits

 This module aims to provide students with a detailed knowledge of the commodity derivatives markets. It examines the aspects of pricing and trading physical derivatives, with emphasis on the energy and shipping (freight) sectors. The course is designed using real-life trading examples, stimulating students, who wish to follow a sales and trading career,  to approach derivatives pricing from first principles.

Outline Content: Introduction to Commodity Markets (History and Evolution, Energy Products, Base Metals, Soft Commodities), Main Market Players and the Forward Curve (Basis Risk, Commodity Futures and Options, Exchanges and OTC markets), Pricing of Commodity Derivatives (Swaps, Options and Structured Trades), The Oil Market and its Mechanisms (OPEC and DOE, Crude Supply and Demand, Inventories, Crude Products and Crack Spreads, Refineries and Margins, Main Energy Derivatives strategies), The Freight Market and its Mechanisms (The Baltic Exchange and the Shipping Industry, Forward Freight Agreements, Trading Freight Derivatives) *Please note this module may not be available on all programmes.

*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Advanced Derivatives Modelling

Module convenor: Dr Emese Lazar

This module aims to introduce the models and pricing methodologies characteristic for three markets, namely equity and foreign exchange, interest rate and credit derivatives markets. For the equity and FX derivatives markets it aims to introduce models beyond Black-Scholes to price non-vanilla instruments. For interest rate derivatives markets arbitrage-free term structure models are considered. For credit derivatives we introduce the default intensity approach for the valuation of single name default swaps and the pricing of OTC derivatives in the presence of counterparty risk.

*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Advanced Finance Theory with Empirical Applications

Module convenor: Dr Nicholas Zhiyao Chen20 credits

This module is designed for advanced Master’s students and doctoral students. It has a very high technical content. It aims to equip the students with the foundations of theoretical asset pricing and with the relevant skills for performing empirical tests. Additionally, a few important corporate finance topics will be covered in the format of student presentations. The objective of the module is to prepare students to become independent and quality researchers.

*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Alternative and Responsible Investments

Module convenor: Dr Andreas Hoepner20 credits

This module provides students with a profound knowledge about the underlying principles, the strategies and the professional practices of alternative investment approaches. The module equips students with analytical skills relevant to alternative investment approaches (e.g. the performance evaluation of hedge funds). The objective of this course is to give students an introduction to the academic research literature on alternative investment approaches and equip students in the relevant research skills needed to investigate alternative investment approaches and in the accurate and systematic collection of original data. The module will guide students towards a critical assessment of current key concepts and practical applications within alternative investments and towards the development of a small product within an alternative investment markets (e.g. an index). This module will foster students’ enthusiasm about alternative investments by encouraging them to pursue advanced personal analyses of the area beyond classroom requirements.

*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Liquidity Risk and Algorithmic Trading

Module convenor: Dr Alfonso Dufour20 credits

The evolution of algorithmic trading, the proliferation of alternative trading platforms for trading the same security and the development of new products and assets with limited liquidity have contributed to raising the awareness of academics and traders on the importance of understanding and properly managing liquidity and execution risks. The objective of this course is to give students an introduction to liquidity and execution risks and an overview of the methods for managing these risks. The issues discussed in this course are important when developing trading strategies, valuing portfolios, liquidating large positions and transitioning assets to new investments. By the end of the module, it is expected that the student will be able to
  • Explain the concepts of high frequency trading and algorithmic trading.
  • Identify the characteristic elements of alternative algorithmic trade execution strategies
  • Explain how to measure and manage trade execution risk and compute liquidity adjusted VaRs
  • Solve simple trade execution problems and develop optimal execution strategies
  • Understand the impact of recent regulatory changes on the market and market players
Outline content
  • Introduction to the Security trading industry. Algorithmic Trading. Liquidity and liquidity risk. Liquidity suppliers.
  • An example of algorithmic execution strategy: VWAP
  • Transaction Cost Analysis (TCA). A framework for measuring and managing trade execution costs.
  • Optimal execution strategies and liquidity adjusted value at risk of asset holdings
  • Understanding, modeling and predicting execution risk
  • MiFID and Reg-NMS. Recent regulatory trends and expected impacts on markets (competition, transparency and best execution)
*We reserve the right to change this list should staffing or other changes in circumstance make it necessary

Topics in Financial Regulation

Module convenor: Miss Deepa Govindarajan20 credits

This module provides an overview of the purpose and operation of financial regulation, and the consequences of financial sector reform for different markets, including those of the students’ home country. The module aims to deliver a broad insight into the key challenges for financial regulation particularly in the light of changes to the financial architecture in the aftermath of the global financial crisis of 2007.

*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

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Why not make an appointment to come and visit. You can chat with our Admissions and Careers teams and a member of academic staff. Email admissions@icmacentre.ac.uk or call +44 (0)118 378 8239.

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