Support Modules

The School runs a number of MSc modules to support our students through their MSc, and practical classes specifically intended to give our students a head start in the world of finance. These include:

• Algorithmics Trading
• Applied Portfolio Management
• Bloomberg Training Programme
• C++ for Finance
• Computational Finance
• Data Analysis for Research
• Electronic Trading
• Finance Trading Programme
• Foundation course in Technical Analysis
• Gauss 1
• Matlab and R
• Quantitative Actuarial Practice
• Quantitative Techniques and Quantitative Methods For Finance
• Quantitative Modelling and Risk Management in light of the financial crisis - a practitioner's perspective
• The Quantitative Interview
• Topics in Risk Management and Investments
• Valuation course
• VBA for Finance
• Winning Interview Workshops by City CV

 

Algorithmic Trading

The course covers the topic of quantitative, automated and semi-automated trading strategies used by proprietary trading desks, hedge funds and other asset managers. Risk management in the context of algorithmic trading will be a key part of the discussion too.

The course is delivered by Visiting Professor Ammar Kherraz, a well known practitioner in the finance industry. He said the following about the course:

“This course covers the three broad categories of algorithmic trading: relative value, carry and momentum/reversal. Examples of these in various asset classes will be given. How these strategies performed before, during, and since, the financial crisis will be discussed.”

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Applied Portfolio Management

The aim of this course is to discuss modern investment theory, its central concepts, and practical applications. The purpose is to show the application of finance theory in making portfolio management decisions, with some emphasis on individual portfolio decision-making. Property investments and leverage in an individual portfolio will be examined. Alternative asset management strategies will be studied in detail including statistical arbitrage, pairs trading and merger arbitrage. Hedging tools and a detailed overview of the delta hedging of options will be covered. Finally, a description and overview of structured products, how they are created, valued, their typical end markets and how investors win/lose in these investments.

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Bloomberg Training Programme

The School hosts 10 Bloomberg trading terminals for exclusive use by our students. Bloomberg is one of the market leaders in providing business, economics and financial data to decision makers and the terminals give students access to the full Bloomberg set of financial and economics data.

In collaboration with Bloomberg, the School organises a number of training sessions throughout the academic year aimed at explaining the software’s functionalities, all students are welcome to attend at no additional cost.

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C++ for Finance

The School organises an intensive two day module on C++ for Finance for all MSc students. The course introduced students to numerical methods in Finance implemented in C++, one of the most popular programming languages.

It covers a range of numerical methods in Finance, implemented in C++. The part starts from scratch and assumes no prior knowledge. It covers control structures, arrays,pointers etc. and goes all the way to object oriented programming.

The numerical methods part focuses on popular methods in Finance: Monte Carlo, trees and PDE grids.

The course is delivered by Visiting Professor Ammar Kherraz, a well known practitioner in the finance industry. He said the following about the course:

"C++ for Finance provides a hands-on experience in C++ programming for implementing computational techniques of quantitative finance.

C++ is taught from scratch. Good practice in the use of C++ and key concepts around object orientation and memory management are taught. C++ is a very powerful programming language, widely used in the industry in writing quantitative modelling libraries e.g. for bank trading desks.

One key focus of this course is practicality and relevance to the industry. Selected pricing and risk management problems that are pertinent to today’s' practice of financial derivatives modelling are gone through. Areas that typically come in up quantitative interview questions are flagged up to the students."

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Computational Finance

The course provides a hands-on experience in implementing computational techniques of the pricing and risk management of financial derivatives. The course covers a good range of modelling problems that span a decent spectrum of derivative asset classes (across equity and fixed income.) A variety of approaches will be gone through, including analytical, semi-analytical, finite difference and Monte Carlo methods. The programming language of choice will be C++.

The course is delivered by Visiting Professor Ammar Kherraz, a well known practitioner in the finance industry. He said the following about the course:

“Keeping up-to-date and relevance to the industry are key focuses for this course. Pricing and risk problems that are most pertinent to today’s' practice of financial derivatives modelling will be at the core. The areas that typically come up in quantitative interview questions will be flagged up to students. Intricacies, that are often confined to the heads of specialists in quant libraries, will be mentioned.”

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Introduction to Electronic Trading

This course provides insight to how global exchanges are migrating from an open outcry to an electronic environment. The course will highlight:

• History of the financial markets
• Key concepts
• Products (with a concentration on equity options in the US)
• Overview of the players eg exchanges, firms, and clients
• From the pits to the gateways
• Operationally how markets work
• Insights
• Risk
• Trading strategies ie the instructor will provide live examples of trading strategies and breakdown the particulars

Who should take this course?
If you are going to make financial services a career, and you want a brief course on electronic trading from the inside out or you want to sharpen your skills sets i.e., analyzing and acting fast under pressure (in front of your class mates) this is the course for you. The course is designed to challenge you so it will be made up of lectures, interactive simulations, and pop oral quizzes. There will be no books required, just your will to listen, learn, speak up in front of the class and try!

Instructor bio
  Gerald Perez has been in the financial markets for more than 23 years. He is a former professional institutional trader (in the US and Europe). He is a former project manager and compliance officer. Gerald formerly sat on the Futures Industry Association (FIA) European board. Currently sits on the Options Industry Council - European board and on the editorial board of the Futures Industry Association Magazine. Gerald periodically appears and speaks in exhibitions, periodicals, TV and Radio, on Bloomberg, CNBC Europe, NDTV and Sky News from Europe, the Middle East to India. He is a director at Interactive Brokers (IB). Interactive Brokers Group with an equity capital of $4.4 billion is a large independent online broker/dealer that operates offices worldwide. IB executes over one million trades per day.

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Financial Trading Programme

To bring the real trading markets directly into the classroom

The objective of the Financial Trading Programme is to provide theoretical knowledge and practical understanding of financial markets, trading strategies, risk & money management and trader analytics at the highest level. This is where the student’s theoretical knowledge meets the real world. The program offers a mix of classroom based instruction, case study and practical trading exercises where students will trade on real-time simulated global markets through the use of industry strength proprietary trading software in the trading lab.
Each semester there are five taught Modules which include practical lab sessions. The objective is to build student knowledge from a beginner level to an advanced level over the three-semester period so that they become very familiar with trading on a par with the professionals. The syllabus has been designed to lead the student through a structured programme that enhances knowledge at each stage based on the previous learnt experiences.

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Foundation course in Technical analysis

Practical application of technical analysis in the financial markets

Technical analysis evaluates past price performance to anticipate future price movements and is widely used by all major banks, brokers, fund managers and hedge funds. This course of lectures is aimed at giving students an understanding of how technical analysis is used to pick up trends and predict turning points in the financial markets. It will explain how different types of analysis can be applied to different markets. The lecturers all work in the markets.

Week 1: Mapping the markets
- how cycle theory enables technical analysts to read equity markets

Lecturer: Deborah Owen, Chairperson of the Society of Technical Analysts and Managing Director of Investment Research of Cambridge, the first company in the UK to specialise in technical analysis. Deborah is co-author of ‘Mapping the Markets’ and ‘EMU in Perspective’.

Week 2: Pattern recognition
-    clear patterns of price behaviour occur more often than the laws of chance would allow. Identifying these patterns enables traders to pick up market turning points

Lecturer: George MacLean, Training Consultant, Linedata. George specialises in futures analysis and sovereign debt yield curve and spread analysis. He was formerly Director of European Technical Analysis at Standard & Poor’s MMS.

Week 3: Elliott Wave Analysis
-    harnessing the power of Elliott Wave analysis with the discipline of trend following.

Lecturer: Murray Gunn, Head of Technical Analysis, HSBC Bank. Murray is author of ‘Trading Regime Analysis’.

Week 4: Trend and momentum
- using trend and momentum to capture market moves. Incorporating short term indicators to these trends can determine whether they are oversold or overbought

Lecturer: George MacLean, Training Consultant, Linedata

Week 5: The power of technical analysis to predict collective behaviour in financial markets trading
- the importance of crowd behaviour and mental discipline to successful trading.

Lecturer: Tony Plummer, director of Helmsman Economics Ltd, a company that specialises in analysis of economic and financial market behaviour from a  historical perspective. Tony is the author of ‘Forecasting Financial Markets’.

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Quantitative Actuarial Practice

The course begins by explaining the background behind the quantitative needs of insurance companies/consultancies, as dictated by regulatory and other drivers.

The course then explains the quantitative techniques deployed to address points. Quantitative aspects of the proposed Solvency II regime are explained, and light is thrown on ongoing discussions aiming to shape the final version of that framework.

The course also goes through the big open questions in this field, to give the student maximum readiness for pursuing a quantitative career in the actuarial world.

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Quantitative modelling and risk management in light of the financial crisis - a practitioner's perspective

The course first details the modelling and risk management landscape up to the financial crisis. An excellent way of discussing the important topic of model limitations is, as this course does, to analyse the deficiencies in modelling and risk techniques brought to light by the crisis. A chronology of the financial crisis, from a quantitative finance viewpoint, will also be given.

The course then moves on in detail to the changes, since the crisis, to the modelling and risk landscape.

The course is delivered by Visiting Professor Ammar Kherraz, a well known practitioner in the finance industry. He said the following about the course:

“Practical quantitative finance changed significantly since the crisis. CVA (counterparty valuation adjustment), approaches to discounting/funding in the valuation of collateralised derivatives, stochastic recovery in credit and CDS-bond basis are all examples of change in this field from 2008 onwards. All of these are discussed in detail in the course.”

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Topics in Risk Management and Investments

The course consists of three parts. In the first part, topics on Value-at-Risk will be covered with a view to measuring market risk. In the second part, investments in commodities will be explained. In the last part, the use of the informational content of options for quantitative asset management purposes will be presented.

The objective of the first part is to make the audience familiar with the standard techniques that are used to measure market risk within the Value-at-Risk (VaR) framework. The techniques will be explained in details. Emphasis will be placed on implementation. The second part of the course will make the audience familiar with the “basics and beyond” features of investing in commodities. First, the basic categories of commodities will be introduced. Then, commodity futures, the most popular vehicle to invest in commodities, will be explained thoroughly. Finally, the properties of commodities as an asset class will be discussed by drawing on empirical evidence. Various case studies will also be presented. The third part of the course will present ideas on the use of the informational content of option prices for stock selection, asset allocation, risk management, and market timing.

Taught by George Skiadopoulos, Ph.D.

University of Piraeus, Department of Banking and Financial Management

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Valuation course

Students will explore both the theoretical basis and practical application of frontier valuation concepts and techniques. The course scrolls through traditional valuation methods, as DCF approach, and the latest methodologies, namely real options. Students are expected to acquire autonomy and critical sense in the use of those valuation techniques. Additionally, two further valuation topics will be covered: (i) creating value through a Merger & Acquisition process and (ii) decisions under financial distress contexts. Alongside the theoretical background, the course strongly emphasizes practical application, with case studies and examples. A DCF model for valuing a listed company will be developed in-class and a real world case of Private Equity action on distressed debt investments (motivation, value creation and deal making process) will be exposed.

About the course lecturer:

Gonçalo Faria holds a Ph.D in Financial Economics by the University of Porto (2010), is a CFA Charterholder and CFA Institute member (2004), frequented the Advanced Valuation Course in Amsterdam Institute of Finance (2004) and holds a Degree in Economics by the University of Porto (2000).

Currently teaches Risk Management Courses in the Porto Business School (MBA and Executive Education programs) and Finance and Project Analysis Courses in the University Lusíada Porto (MSc programme).

Moreover, he is a Visiting Researcher in the Finance Department of Imperial College Business School and an External Researcher in the Center for Economics and Finance of the University of Porto and of the Research Group in Economic Analysis of the University of Vigo.

In the private sector, he is currently a consultant of a Luxembourg based Private Equity Fund, and was a Managing Partner and Founder of a Luxembourg based Hedge Fund (Douro Equity Fund) between 2010 and 2011.

Previously, between 2001 and 2007 worked in BPI, the leading Portuguese Investment Bank, until 2005 as an equity analyst and after that in BPI’s Proprietary trading team. Started his professional career in 2000 as an auditor in Arthur Andersen.

 

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Winning Interview Workshops by City CV

(pictured l-r, workshop trainers Victoria, Katherine, Tony)

City CV - www.citycv.co.uk, the leading CV writing, interview coaching and career coaching organisation for finance is commissioned by the School of Economics and Finance to help our students improve their employability prospects.

Victoria McLean, City CV's MD was Recruitment Manager and Recruitment Specialist on-site at two of the world's largest investment banks: Goldman Sachs and Merrill Lynch Bank of America. The City CV team has an in-depth understanding of the complex world of banking, investment banking and finance. They know exactly what employers are looking for and have first-hand experience of how they make their hiring decisions.

Free CV Review and Professional CV Writing: City CV's team of industry experts have won nominations for the global CV writing awards (including 2012 nominations for Best Graduate CV and Best International CV) and have helped graduates secure interviews, internships and roles at the Big 4 firms, global top tier investment banks, mid-tier banks and boutiques. As a student in the School of Economics and Finance you can have your existing CV reviewed FREE of charge.

Winning Interviews: With the constructive support of City CV's coaches, students will enhance their interview confidence, competence and performance. Focusing on the entire application process, the workshop provides participants with the analytical framework to unpack their own qualities and identify the achievements that will help them to stand out in a tough graduate market. Each student will develop the ability to demonstrate competence rather than just report it - an essential skill for job interviews today. Designed by a former heavy-weight investment banking recruiter, the session also includes preparation for technical, complex and knowledge based questions that financial institutions regularly use both online and at interview. These approaches and other “tricks of the trade” make the programme an experience which ensures that the performance of each student will meet the high expectations of top recruiters.

Who should take this course? Every MSc student who is seeking a career in finance, financial services, banking or a graduate post in a non-finance sector. Graduates and post-graduates supported by City CV have secured top roles in numerous fields including: accountancy, professional services, banking, trading, investment banking, hedge funds, asset management, engineering, technology, retail, pharmaceuticals, recruitment, sales and marketing.

MSc students in the School of Economics and Finance also receive regular interview advice, tips, and the latest industry recruitment news from City CV.

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