Back to Top
Close Menu
 
Centre for Professional Development and Lifelong Learning
CAVE HILL HOME > Lifelong Learning > Courses > Postgraduate Modules > Advanced Financial Engineering

Postgraduate Modules

Postgraduate Modules

Advanced Financial Engineering

Overview

Financial engineering utilizes mathematical and statistical methods to the problems encountered in finance. Financial institutions (e.g. investment banks, commercial banks and insurance companies) as well as regulatory agencies all utilize the tools of financial engineering. Students will be introduced to the tools used in financial engineering, which should help them to drive innovation and efficiency in their business or industry.
 

What will I Learn?

 
On successful completion of this course students will be able to:

  • Explain the money market problem.
  • Scrutinize the institutional aspects of the derivative market.
  • Distinguish among various fixed income risk measures.
  • Critique conventions in relation to interest rate swaps.
  • Select the appropriate repo market strategy.
  • Propose some ‘real life’ complications that may occur with dynamic replication methods.
  • Illustrate the use of options for managing financial risk.
  • Appraise bond convexity trades.
  • Choose among various option strategies.
  • Critically evaluate the various pricing methods in financial engineering.
  • Develop a framework for swaps.
  • Critically assess the use of credit default swaps.

Who Should do this Course

Important Information

This course is an elective module in the M.Sc. Banking and Finance programme, which could also be taken by students pursuing other graduate degrees in the area of finance. The management and evaluation of risk is a key aspect of banking and finance. The course exposes students to advanced mathematical and statistical tools that can be used to analyse and manage financial opportunities. By the end of the course students will be able to apply these techniques to real world problems in the workplace and be able to conceptualise their own models.  In this way, the course therefore develops the ideal UWI graduate who can bring relatively advanced tools to address the problems being faced in the region.

The goal of this course is to:

Introduce students to the quantitative tools used in financial engineering and how these tools can be applied to problems encountered in the financial industry.
 

 

At a Glance

  • Admissions Term: 2021/2022 Summer
  • Registration: Open
  • Date: May 30th - July 8th, 2022
  • Time: Tuesday and Wednesday (5pm-8pm)
  • Duration: 36 hours
  • Certificate Awarded: Postgraduate Professional Development Certificate of Competence
  • Course Code: FINA 6100
  • Capacity: 10
  • Cost:

The following topics/concepts/theories will be addressed:
  • Concepts and Definitions
  • Future Contracts and Forward Contracts
  • Stock Index Futures
  • Short-Term Interest Rate Futures
  • Engineering Interest Rate Derivatives
  • Option Markets and Properties
  • Options Pricing
  • Hedging and Volatility
  • Value at Risk (VaR)
  • Swaps Engineering
  • Fixed-Income Engineering
  • Credit Markets and Credit Derivatives

The course will be taught via the use of face-to-face and on- line lectures, online discussions, case-based small-group discussions, and tutorial discussion.

The course will be assessed by means of 100%
coursework weighted as follows:

  • Quizzes (2)                                                 20%
  • Problem Sets/Assignments                          20%
  • Case Study Analysis                                   25%
  • Financial Engineering Project (Group)            35%

Lecturer: Dr Ahmed Elsayed – Associate Professor in Economics and Finance at Durham University Business School

 

Coordinator: Dr. Dion Greenidge