Financial Engineering in Interest Rates & FX
City of London , United Kingdom
Tuition Fee
GBP 920
Per year
Start Date
Medium of studying
Fully Online
Duration
2 months
Program Facts
Program Details
Degree
Courses
Major
Finance | Risk Management
Area of study
Business and Administration
Education type
Fully Online
Timing
Full time
Course Language
English
Tuition Fee
Average International Tuition Fee
GBP 920
About Program
Program Overview
This online course in Financial Engineering in Interest Rates & FX provides a comprehensive understanding of financial engineering concepts related to interest rates and foreign exchange markets. Through interactive virtual classroom sessions and coding exercises in C++, participants develop their programming skills and gain practical knowledge for careers in quantitative finance, market risk management, and related fields. The course is taught by an experienced industry professional and is suitable for individuals with prior knowledge of financial engineering and strong mathematical abilities.
Program Outline
Outline:
- Topics: This course covers a wide range of financial engineering topics related to interest rates and foreign exchange (FX) markets.
- Structure: The course is delivered online and consists of weekly 2-hour sessions held on Wednesday evenings for a total of 10 weeks.
- Modules:
- Binomial Pricing Model: This module introduces the Cox-Ross-Rubinstein procedure for binomial model pricing, functions, pointers, function pointers, classes, inheritance, and virtual functions.
- American Options: This module covers multiple inheritance, virtual inheritance, class templates, Monte-Carlo methods for path-dependent options, pricing errors, Greek parameters, variance reduction techniques, path-dependent basket options, non-linear solvers, implied volatility, and American options.
- Yield Curve Construction: This module explores interest rate concepts, bootstrapping, and interpolation techniques, zero-coupon bonds, coupon-bearing bonds, swaps, stochastic weighted sums of forward rates, and different types of yield curve construction methodologies.
- Short Rate Modeling: This module covers Merton, Vasicek, and Hull-White (HW) models, bond pricing/calibration, caplet pricing, multi-factor HW, and coding for European option pricing.
- Forward Rate Modeling: This module introduces the Heath-Jarrow-Merton (HJM) model, Libor volatility, repricing of caplets, separability of volatility, and the Cheyette model.
- Libor Market Model: This module covers numeraire, spot, terminal measures, drift equations, lognormal, CEV, and displaced diffusion dynamics of Libors, evolution of Libors, PCA, and stochastic volatility.
- Options Pricing: This module dives into the details of Monte-Carlo routines, option pricing, early exercise, inflation, and stochastic spread yield curves.
- SABR Model and Option Hedging: This module covers the SABR model and option hedging in discrete and continuous time.
- C++ Coding: Throughout the course, you will be developing your C++ programming skills through coding exercises and projects related to the covered topics.
Teaching:
- Lectures: The course is taught by Dr Emiliano Papa, a Director at Deutsche Bank with extensive experience in quantitative finance.
- Virtual Classroom: The course is delivered online through interactive virtual classroom sessions.
- Exercises: Each week, students will complete exercises based on the covered material, including some coding projects in C++.
Careers:
- Target Audience: This course is ideal for individuals with prior knowledge of financial engineering and strong mathematical skills who are interested in a career as a quantitative analyst, market risk manager, or market risk model methodology manager.
- Outcomes: Successful completion of this course will equip you with the knowledge and skills to succeed in roles related to interest rate and FX markets, particularly in the quantitative finance domain.
Other
- Prerequisites: Strong mathematical skills and some knowledge of financial engineering are required for this course.
- English Requirements: Fluent spoken and written English is required to enroll in this course.
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About University
City University of London
Overview:
City, University of London is a public research university located in London, England. It is known for its focus on business, practice, and the professions, offering a wide range of undergraduate and postgraduate programs. The university is renowned for its strong academic reputation and its commitment to providing students with a high-quality learning experience.
Services Offered:
City University of London provides a comprehensive range of services to its students, including:
Library Services:
Access to extensive library resources, including books, journals, databases, and online resources.Moodle:
An online learning platform for accessing course materials, submitting assignments, and communicating with instructors.Email:
A university-provided email account for official communication.Staff Directory:
A searchable directory of staff members and their contact information.Term Dates:
Information on the academic year and term dates.Room Booking:
A system for booking rooms on campus for meetings, events, and other purposes.Schools and Departments:
Information on the various schools and departments within the university.Student Life and Campus Experience:
City University of London offers a vibrant and diverse student experience, with a strong emphasis on:
London Experience:
The university's location in London provides students with access to a wide range of cultural, social, and professional opportunities.Sports:
A variety of sports clubs and facilities are available for students to participate in, both competitively and non-competitively.Social Activities and Groups:
Numerous student societies and groups cater to diverse interests, providing opportunities for social interaction and personal development.Student Wellbeing:
The university offers a range of support services to ensure students' health and wellbeing, including learning support, personal tutoring, and counseling.Career Development:
The university provides career guidance and support services to help students prepare for their future careers.Key Reasons to Study There:
Strong Academic Reputation:
City University of London is consistently ranked highly in national and international rankings.Focus on Business, Practice, and the Professions:
The university's programs are designed to provide students with the skills and knowledge they need to succeed in their chosen careers.Location in London:
The university's location in the heart of London provides students with access to a wealth of opportunities.Vibrant Student Life:
City University of London offers a diverse and engaging student experience.Excellent Career Support:
The university provides comprehensive career guidance and support services.Academic Programs:
City University of London offers a wide range of academic programs across various disciplines, including:
Business and Management:
Bayes Business School is renowned for its programs in finance, accounting, marketing, and entrepreneurship.Law:
The City Law School is a leading institution for legal education, offering programs in law, international law, and legal practice.Health and Psychological Sciences:
The School of Health & Psychological Sciences offers programs in nursing, midwifery, psychology, and other health-related fields.Science and Technology:
The School of Science & Technology offers programs in computer science, engineering, mathematics, and other STEM fields.Communication and Creativity:
The School of Communication & Creativity offers programs in journalism, media, performing arts, and language studies.Other:
Merger with St George's:
City University of London has merged with St George's, University of London, forming a new institution called City St George's, University of London.Awards and Accreditations:
The university has received numerous awards and accreditations for its teaching, research, and commitment to equality and diversity.Global City:
City University of London is a global institution with a strong international presence.University of London:
City University of London is a member of the University of London, a federation of 18 independent colleges and institutes.Total programs
427
Admission Requirements
Entry Requirements:
Home/EU Students:
- Typical offer: 64 points from 3 A Levels or equivalent qualifications. We normally require passes in one science subject and mathematics.
- Alternative Entry Routes: BTEC Extended Diploma in Engineering, BTEC Extended Diploma in Computing, BTEC Extended Diploma in Mathematics, DDD in an appropriate subject combination.
International Students:
- Academic qualifications: GCE A-levels: 64 points from 3 A Levels or equivalent qualifications. We normally require passes in one science subject and mathematics.
- Country-specific requirements:
- For full details of the University’s English language requirements and qualifications, please visit our International pages.
- For general country-specific requirements please visit the Undergraduate Admissions pages.
Alternative Entry Routes:
- BTEC Extended Diploma in Engineering, BTEC Extended Diploma in Computing, BTEC Extended Diploma in Mathematics, DDD in an appropriate subject combination.
- Access to Higher Education Diploma with 60 credits Level 3 at Distinction and 120 credits Level 2 at Merit.
Applications are accepted through UCAS: City, University of London code = C19
Language Proficiency Requirements:
IELTS:
6.5 overall score with a minimum of 6.0 in each component.
TOEFL:
90 internet-based test, with a minimum of 20 in writing and listening, 18 in reading and 22 in speaking.
Cambridge English:
Advanced - CAE Grade C, Proficiency - CPE Grade C.
Pearson PTE Academic:
overall score of 62, with a minimum of 59 in each component.
Additional information:
- Applicants who do not meet the University’s English language requirements may be able to take a pre-sessional English language course.
- For more information on English language requirements, please visit the English Language Requirements page.
Please check the University website for the most up-to-date information.
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