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| Birkbeck University - MSc Financial Engineering / MS Finance | | Print | |
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Discuss In Forums || Updated Oct 2009 Birkbeck University - MSc Financial Engineering / MS Finance / MS Finance & Commodities The Summary: The Birkbeck program in Financial Engineering is one of the pioneering FE programs in the UK. The programme curriculum includes courses focused on valuation of securities, and measurement and management of portfolio risks. Training is provided in programming, numerical methods and statistics, and you will be given a grounding in pricing and risk management techniques.
Students graduating from the programme should be equipped to work as specialist quantitative analysts in financial institutions or to complete doctoral study in financial engineering.
A less quantitatively rigorous program is the MS Finance program at Birkbeck. Covered areas include start from basic portfolio theory and cover corporate finance and advanced pricing theory applied to derivatives and government bond markets. Students also complete courses on international finance and the microstructure of securities markets. They also learn the latest econometrics and numerical analysis skills important in the marketplace.
This MSc in Finance & Commodities programme aims to develop a systematic understanding of knowledge in the core areas of finance and in quantitative methods with a strong component of energy finance and commodities modelling.
The course provides a thorough grounding in the theory of modern mathematical finance, foundations and recent developments in energy and commodities modelling and a comprehensive “hands-on” understanding of the numerical methods and computational techniques required to apply the theory to conduct research on issues related to financial markets and industry.The theory and tools aim to equip students to acquire a critical understanding of the current scientific research output disseminated largely through journal articles, as well as to pose original questions, analyze such questions in a rigorous fashion, test the results using quantitative techniques and report the conclusions for an academic as well as non-specialist audience.
Course Structure: Year 1 (both part-time and full-time)
Mathematical methods: this module consists of two parts. Stochastic Processes for Finance: After an introduction to Matlab, the course will treat the basic stochastic calculus needed for modern finance: Brownian motion, Ito calculus, filtrations and martingales, culminating in the Feynman-Kac theorem. Simple Matlab exercises will be used to illustrate the material numerically, where appropriate. Theoretical Numerical Methods for Finance: The course will provide rigorous analysis of the numerical methods required to solve parabolic differential equations of the Black-Scholes style, including a treatment of the Cox-Ross-Rubinstein binomial method. Some more general numerical methods will also be treated briefly, including (i) Monte Carlo simulation and its algorithmic efficiency, (ii) numerical methods for solving nonlinear equations and some basic optimization techniques, and (iii) more general numerical methods, such as data fitting.
Year 2 (part-time) / Year 1 (full-time)
Pricing: This course covers continuous time price theory. It comprises two modules. The first provides a basic treatment of non-measure-theoretic pricing theory applied to financial options, default-free bonds and defaultable debt. The second introduces students to matingale theory techniques (Girsanov’s theorem and representation theorems) and then shows them how to price derivative securities using martingale methods in an arbitrage-free market setting. Changing numeraire techniques will also be covered in connection with option pricing in both defaultable and non-defaultable term structure models (HJM and LIBOR). Applicaions to interest rate and credit derivatives will be given.
Risk Management: This course introduces students to the modern theory of risk management as practiced by banks and other financial institutions. The first part of the course covers risk measures such as Value at Risk based on loss distribution tails. Modelsused to analyse market, credit and operational risk in bank portfolios are examined. The second section of the course deals with risk management techniques employed by investment funds. Topics covered include capital asset pricing models, asset allocation and performance assessment.
Global Derivatives View: One of the first Financial Engineering programs in the UK, the Birkbeck MFE program features 4 main topics of study; mathematical & numerical methods, computational methods & financial statistics, risk management and pricing. We see this coverage as good in terms of mathematical / quantitative learning, and improvements have been made over the past couple of years to give greater emphasis to interest rates, commodities and credit derivatives.
Being in London is a benefit as the city offers good prospects for graduates of the program looking to enter a risk management or quantitative research role at a major house. Recommended for those with some finance experience - who can apply the mathematical concepts to their underlying understanding of the markets, and also recommended for those who have a strong preference within risk management or commodities modeling.
Key Stats: Annual Intake:
Additional Information: Notable faculty includes Helyette Geman |