Financial Engineering

Module code: MA7418

This module provides a concise and comprehensive guide to the mathematics of modern portfolio theory as well as economic implications. The module discusses mean-variance analysis, factor models, the Capital Asset Pricing Model, risk measures including VaR, coherence, market efficiency, rationality, utility theory, stochastic dominance, very long term investing, and the modelling of actuarial liabilities. Assumptions, mathematics, economic implications, limitations, problems and solutions are explained for each of these topics in turn.