MSc Financial Engineering

A degree highly respected by quantitative analysts and their employers

Course overview

Highlights

  • A highly technical programme for those with strong mathematical skills
  • Gain knowledge of derivatives pricing tools and methods, as well as the use of programming languages like C++ and VBA
  • Designed with the support of industry practitioners to equip students with the skills and knowledge needed to succeed
  • Graduates are able to make an early contribution through the unique combination of hands-on, practical skills and the necessary underlying finance theory
  • Benefit from the combined expertise of both the ICMA Centre and the Department of Mathematics

Course overview

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 programme will equip you to meet this challenge.

If you have any questions, please contact us by email at admissions@icmacentre.ac.uk or by phone on +44 (0)118 378 6497

Fees & funding

Full-time course fees (2016/17): £21,900

Full-time course fees (2017/18): £22,500

Fees are the same for both EU and overseas students but we have a number of scholarships aimed at candidates with excellent academic performance and/or work experience that cover part of the tuition cost. Please note there is a one-off £30 application fee (one charge regardless of how many courses you apply for). You can pay this by credit/debit card at this link (please contact us if you require details of alternative payment methods).

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.

Please note that a non-refundable deposit is payable when confirming your acceptance of an offer of a place. This is part of your tuition fee and will be deducted from the total amount upon enrolment.

Scholarships

We offer a number of scholarships for EU/UK and international applicants with excellent academic performance as well as for international applicants with work experience, covering from £5,000 to 60% of the cost of the programme.

For a full list of scholarships, visit our scholarships webpage.

UK/European Union Postgraduate Loans

The UK Government has confirmed that non-means tested loans of up to £10,000 will be available to students studying for postgraduate masters courses from the 2016-2017 Academic year. To be eligible, students will need to be English domiciled.  EU students, and individuals falling within certain specified categories, may also be eligible.

Full details of the loan, including how to apply, are due to be published this year.  You read more at Introduction of loans for postgraduate students and Government response to the Consultation on Support for Postgraduate Study.

Careers & professional accreditation

Careers

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.

Find out more about graduate destinations and career opportunities on our Henley Careers page

Professional accreditation

CISI Diploma

Students are eligible for exemption from one Diploma module:

  • Financial Derivatives

ICMA Fixed Income Certificate

To obtain the requisite knowledge to pass the rigorous FIC exam, students are required to take the ICMA Centre Fixed Income Cash and Derivatives Markets module at Part 2. In order to receive the FIC certificate, students will need to register and pass the FIC exam through ICMA.

Further information is available regarding exemptions in MScs and Professional Qualifications

Learning options

Our master’s in finance courses are available only  on a full-time basis with the option of studying for 9 or 12 months.

Learning options

Full-time: 9 months
Full-time: 12 months
Students will be resident and undertake full-time study in the UK.  Under both, the 9 and 12-month programmes students take compulsory and/or elective modules in Part 2.
The 12 month option involves taking an elective 20 credit module between July and August, which would also mean a 20 credit reduction in the number of taught modules taken in the spring term.

Course structure

October – December: Part 1 Autumn Term
January: Part 1 Exams
January-April: Part 2 Spring Term
May – June: Part 2 Exams
June – August (12 month programme only): Part 3
August/Sep (12 month programme only): Part 3 Coursework deadlines

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.

Why study at the ICMA Centre?

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“National league tables show that Henley Business School consistently provides one of the most satisfying and rewarding student experiences in the UK.” Professor John Board, Dean.

Part of the triple-accredited Henley Business School and top 1% University of Reading, the ICMA Centre has a global reputation for its excellence in undergraduate, postgraduate and executive education in finance, as well as professional and policy development research and consultancy.

Based in University of Reading’s award-winning Whiteknights campus – a short train ride from London, the financial capital of the world – the ICMA Centre is the product of the first active collaboration between the securities industry and a university finance department.

Find out more about:

Compulsory modules

The module covers the building blocks of econometrics and analytical techniques used in finance.  Via case studies and computer modelling exercises, students learn how to apply these techniques to real data. Emphasis is placed on practical applications of the techniques in the global financial markets.
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This module provides an overview of the key building blocks in modern finance theory and introduces techniques for analysing and valuing different classes of risky assets such as equities and derivatives contracts. It also develops ways of optimally selecting portfolios of such assets and develops models of how these portfolios can 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).
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Fixed Income and Equity Investments deals with the valuation of fixed income and equity securities. The module focuses on the basic characteristics of these securities and the strategies used for estimating 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 or for the purpose of conducting financial analysis. The analytical techniques introduced in this module are widely applied in other elements of the programme.
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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.
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Compulsory modules

The objective is to introduce the students to the C++ language and its usage for financial models implementation. The aim is to quickly reach a stage where students can produce a working and efficient code at the expense of a detailed presentation of the language. The focus is on using the more straightforward and most widely used features of C++. Special emphasis is placed on coding style and some essential software engineering principles are introduced. To achieve good productivity, the following topics are covered: development, building, debugging, testing, and optimising code in the Visual Studio environment. Other tools used are Excel interfacing and source control with Subversion (svn). Some facilities from the standard template library (STL) and Boost library are also used.
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The module is designed to provide an introduction to the models and pricing of interest rates and credit derivatives. It conveys the basic concepts and analytical methodology for the valuation of derivatives in the standard Black-Scholes framework. It also builds awareness of the mathematical foundation for working in the area of financial derivatives’ pricing.
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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.
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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.
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Optional modules

Students on the 9-month (12-month) programme can select 40 (20) credits from the following modules:

The module aims to build on the techniques for portfolio selection that have been introduced in the Securities, Futures and Options module. The module examines the issues involved in understanding the investment market, constructing a competitive investment portfolio (of an active, passive or smart beta style), evaluating the performance of that portfolio, and adjusting its composition through time. It will also consider issues revolving around the management of risk. The compulsory, practical project of the course will provide students with hands-on experience in constructing and managing a realistic investment portfolio.
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Building on the material introduced in Quantitative Methods for Finance, this module covers a number of more advanced techniques that are relevant for financial applications, and in particular for modelling and forecasting financial time series. These include an introduction to maximum likelihood estimation and two-stage least squares, models of volatility, simulation techniques, and multivariate models. 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.
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The purpose of the module is to provide an understanding of the latest developments in banking regulations that are the main driving force behind changes in our approaches to risk measurement. It focuses on the foundations of market risk analysis and the basic models for assessing market risk. Participants utilise 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. They also learn to build various Value-at-Risk (VaR) models for market risk for international portfolios of equities, FX, interest rate products, commodities, derivatives etc. The module has a significant practical component with computer-based workshops that are designed to support the lecture material.
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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. Trading sessions are delivered in our state-of-the-art dealing rooms and utilising our bespoke trading simulation software ICTrader, offering exposure into real trading environment and the price formation process. Students will learn how to “think on their feet”, an essential skill in the investment banking industry.
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The aim of this module is to equip students with a firm understanding of the overall function, structure and operation of the money market including FX. The course covers cash, forward and derivative instruments, and provides the technical knowledge to trade, hedge with, arbitrage and manage these instruments. The course introduces and illustrates a number of key practical trading parameters such as balance sheet, risk capital and other regulatory requirements, liquidity and funding risks and the legal basis of the various instruments, as well as concepts such as OTC markets, netting, fair v market value and basis risk. The course demonstrates that there is a simple body of arithmetic that underlies all money market instruments and that the different instruments are substitutes in liquidity and risk management.
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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.
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Fixed Income Cash and Derivative Markets applies more advanced valuation and risk assessment methods that build on the knowledge introduced in the fixed income component of the first term Fixed Income and Equity Investments module: It describes the basic characteristics of fixed income derivatives, structured products and credit sensitive securities and develops practical strategies for valuation and risk assessment. 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 module is designed not only for students wanting a more advanced knowledge of the fixed income markets, but also for students wishing to take the exam for the ICMA Fixed Income Certificate (ICMA FIC)
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The course is a natural extension to the modules currently taught on bond mathematics, credit risk and the pricing of derivative instruments. It aims to supplement quantitative skills with the knowledge of the economics of interest rates necessary to formulate trading strategy, utilising practical real-world examples. 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.

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The main aim of the module is to provide a rigorous grounding of the theory and practice of corporate finance and more specifically the long-term managerial decisions associated with investments, financing and payout and how they affect the value of the firm. It deals with how corporations are governed and structured, the financing alternatives, structures and processes involved (IPOs, SEOs, Private Equity, Bank Debt and Corporate Bonds), the payout policy of the firm (dividends and repurchases) as well growing through mergers and acquisitions. The module also extensively deals with advanced financial analysis and enterprise valuation methods employed by investment professionals and investment banks. Students are involved in a bespoke investment banking pitch-book simulation whereby they have to work on a team and produce financial analysis on a real transaction and assess the company’s strategic alternatives.
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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.
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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 the concepts of market and asset liquidity, trade execution risk and an overview of the methods for managing these types of liquidity risk. This module will not discuss about funding liquidity and managing liquidity in a bank. The issues discussed in this course are important when developing trading strategies, valuing portfolios, liquidating large positions and transitioning assets to new investments.
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The objective is to introduce the students to programming and its usage for data processing and finance. It deals with how to write programming code, process files, receive input and provide output. Students who complete this course will be able to write programming code in Python, process files, input, output and manage data. Furthermore, students will be able to read and write to Excel and CSV files, connect to databases, obtain and process data from the Web, as well as use Python for Finance and Econometrics applications.
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The module provides an introduction to the basic techniques employed in Financial Engineering. Students will understand how these methods can be applied to design securities with desired payoff characteristics. They will be able to evaluate complex security structures by means of reverse engineering and be aware of possible problems when these methods are applied to real world situations.
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Optional modules

Students on the 12-months programme should take 20 credits from the following:

This module provides postgraduate students with an overview on alternative investment opportunities. It will critically engage students with the characteristics and issues of the main current alternatives investment opportunities being Commodities, Private Equity, and especially Hedge Funds. Beyond this, it will introduce students into newly emerging alternative investment markets, which include Carbon Finance, Microfinance, Islamic Investment and especially Responsible Investment. On this basis, the challenges of hand collecting original data and evaluating alternative investment portfolios’ performance are discussed.
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This module aims to provide students with an understanding of financial decision making in the context of the energy industry. The course will combine theoretical models with practical applications. It focuses on energy markets (products, companies, production and consumption), capital budgeting in energy companies, financing of energy companies, energy derivatives and trading in energy markets. A number of case studies in energy finances are utilised.
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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.
 

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