Comments about Financial Engineering (MSc - Postgraduate Diploma) - At the institution - London - Greater London
These programmes offer advanced training in quantitative skills used in modern financial institutions. These include most notably 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. A key feature of the programme is the emphasis on computational methods and implementation of the pricing and risk management techniques learnt. You will complete modules in programming, numerical methods and financial statistics, and all the modules are illustrated by computer examples. 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. Economics and finance at Birkbeck has acquired an excellent reputation, not only for the quality of its research but also for the quality of its training. The Treasury, the Bank of England and many other employers hire us to train their staff. Employers recognise the quality of Birkbeck graduates in economics and finance. We take students who are determined to succeed and are prepared to undergo the rigours of a first-class training, whether they are studying full-time or part-time. We aim to produce world-class graduates who have a proven record of success in a tough learning environment.
Entry requirements A good upper second-class degree or above, or an equivalent qualification. Your first degree will normally be in a quantitative discipline such as physics, engineering, statistics or mathematics. Or Merit pass in Birkbeck's Graduate Diploma in Financial Engineering. Students who have completed highly quantitative economics degrees will also be eligible. Substantial relevant work experience may be taken into account. You will need to have a strong background in mathematics and statistics, although we will provide additional instruction in necessary mathematical material. Demonstrable qualities, such as good time management and the ability to cope under pressure, are vital.
Financial Engineering (MSc / Postgraduate Diploma)
Introductory programme: you may choose one or both of the following (depending on your background):
Introduction to Finance
Year 1 (both part-time and full-time)
Mathematical and Numerical Methods: this module consists of two parts. Part 1 treats those aspects of the theory of stochastic calculus necessary for modern quantitative finance, including some numerical stochastics. Part 2 continues with numerical techniques for finance, illustrated by MATLAB, and also includes material on differential equations and C++.
Econometrics: this module also comprises two parts – a thorough introduction to time series modelling applied to financial problems; and statistical theory.
Year 2 (part-time)/Year 1 (full-time)
Mathematical Risk Management: Part 1 covers basic modelling of VaRs, credit risk and asset allocation in discrete time; Part 2 examines more advanced topics, such as the ‘axiomatic’ approach to risk, copulas, Extreme Value Theory and asset allocation in continuous time; or
Commodities: provides an introduction to commodities, in particular energy commodities, oil, natural gas and coal, as well as agricultural and metal commodities.
Pricing: continuous time derivative pricing using both PDE and martingale approaches, applied to option pricing; interest rate modelling and credit risk modelling.
All of these modules, with the exception of the introductory programme, are compulsory.