Financial Engineering (MSc) - 2013/2014 entry
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Overview
This programme offers advanced training in quantitative skills used in modern financial institutions, including 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 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.
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. 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.
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Why study this course at Birkbeck?
- Equips you to work as a specialist quantitative analyst in financial institutions or to complete doctoral study in financial engineering.
- Excellent reputation for the quality of our teaching, providing training for employers such as the Treasury and the Bank of England.
- Birkbeck's Economics and Finance Research Group enjoys an international reputation, and stands among the foremost research groups in the country.
- The department enjoys an international reputation and stands among the foremost research groups in the country.
- Watch our video of Professor Ron Smith talking about studying in the Department of Economics, Mathematics and Statistics.
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Course structure
Introductory programme:
- Introduction to Finance
- Statistics.
Preliminary/introductory modules take place in September and have to be passed in order to progress on to the programme.
Year 1 (both part-time and full-time)
- Mathematical and Numerical Methods: 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++
- Financial 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)
- Option: 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
- Option: 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
- Dissertation.
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Further study opportunities
If you are interested in further research, we offer a PhD/MPhil in Economics/Finance.
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Careers information
Graduates go on to careers in banking and finance, the public sector, in industry, or in research and analysis. See our website for examples of what our students have gone on to do.
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Apply now
- Application deadlines and interviews
- You should apply as early as possible. We need to receive your supporting documents, i.e. your transcript, before we can proceed with your application.
- Online application
You can apply online from the link below.
- Application deadlines and interviews