Registry

Module Specifications

Current Academic Year 2012 - 2013
Please note that this information is subject to change.

Module Title	Financial Engineering
Module Code	EF520
School	DCUBS
Online Module Resources
Module Teacher	Valerio Poti
NFQ level	8	Credit Rating	7.5
Pre-requisite	None
Co-requisite	None
Compatibles	None
Incompatibles	None

Description

This module aims to develop students understanding of the uses and applications of FinancialInstruments and Strategies in the process of managing the needs of borrowers, investors andfinancial intermediaries in financial markets.

Learning Outcomes

1. Identify the types of financial risks faced by corporations and financial institutions.
2. Assess the stragegies that may be used to manage the various types of financial risks.
3. Value simple financial instruments and explain the process of how more complex financial products may be valued.
4. Critique recently developed metrics and concepts in the areas of financial engineering and risk management.
5. Identify the potential risks and limitations associated with valuation models being used.

Workload	Full-time hours per semester
*Type*	*Hours*	*Description*
Lecture	24	No Description
Tutorial	10	Guided solution of assigned problems and exercises
Seminars	5	Participative attendance of seminars offered by industry experts and/or academics
Assignment	20	Answer assigned short answer questions and problems
Laboratory	20	Practice writing elementary programs (in Visual Basic) and in the creation of MS
Independent learning	20	Reading references (textbook and lecture notes) for weekly lectures. This should be done ahead of weekly leactures, to maximize in-class learning and allow the students to actively debate the material presented in class, and after the lectures, to solidify the learning of the material
Examination	26	Revision for exam
Total Workload: 125

All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml

Indicative Content and Learning Activities

No Arbitrage Pricing.
Replication of financial and non-financial payoffs, No-Arbitrage and Risk Neutral Valuation.

Forwards and Futures.
Forward rate agreements (FRAs); synthetic agreements for forward exchange (SAFEs); currency forwardsand futures; short-term interest rate futures; T-Bill futures; market timing and duration; stock indexfutures; stock market timing with futures.

Swaps.
Currency and interest rate swaps; managing interest rate risk and currency risk with swaps.

Options.
Hedging and volatility: delta hedging, Black-Scholes and the greeks; option spreads and stock options:synthetic securities, bull and bear spreads, straddle, strangle, butterfly and condor, stock options; interestrate options (including caps, floors, collars, swaptions); foreign currency options; future options; portfolioinsurance.

Managing Risk.
Market and credit risk in financial and non financial firms; defining and measuring market and credit riskexposures; risk reduction vs. yield enhancement techniques; buying and selling convexity; structuredfinance and securitization.

Assessment Breakdown
Continuous Assessment	25%	Examination Weight	75%

Course Work Breakdown
Type	Description	% of total	Assessment Date
Multiple choice questions	Quiz containg MCQs or questions that require short answers	25%	Week 26

Reassessment Requirement
Resit arrangements are explained by the following categories; 1 = A resit is available for all components of the module 2 = No resit is available for 100% continuous assessment module 3 = No resit is available for the continuous assessment component
This module is category 1

Indicative Reading List