Quantitative Finance (Postgraduate Diploma)

Overview
Structure
Study materials
Fees
Assessment
Requirements
Leaders

Is this programme for me?

The Postgraduate Diploma in Quantitative Finance is designed principally for postgraduates whose work in banks and other financial institutions requires knowledge of statistical (particularly econometric) and quantitative approaches to risk and derivatives. Graduates with strong previous quantitative training (such as engineers) and graduates with lower levels of previous training can both benefit from the programme by choosing appropriate courses. (The Programme Director will advise on your course choices).

The programme can also provide a suitable route towards entering the MSc Finance (major: Quantitative Finance).

Programme aims

This programme will equip you with the necessary statistical (particularly econometric) skills and quantitative approaches to risk and derivatives.

Programme details

	You study	Study period	Cost (2012-13)
Postgraduate Diploma	4 modules	1-5 years	£4,920
Individual Professional Awards	You can take up to three individual modules from this distance learning programme. Each module lasts eight weeks and you are registered for two years. The fee per module is £1,230.

Prestige

The programme has been developed by academics at the Centre for Financial and Management Studies (CeFiMS), a postgraduate research and teaching department within SOAS, University of London. Staff at CeFiMS have international reputations and are involved in researching their subjects at the very limits of current knowledge.

Career progression

As a graduate of this programme you will be well prepared for research and other positions in banking, fund management, consultancy, central banks and international bodies.

Comprehensive study materials and support

You will be given all of the learning materials that you need to complete each course. These will typically include:

The Study Guide, a core text specially written for the course. This takes the form of a looseleaf binder containing eight ‘course units’. The units are carefully structured to provide the main teaching of the course, defining and exploring the main concepts and issues, locating these within current debate and introducing and linking the further assigned readings.
Textbooks and collections of key journal articles and book extracts.
Online and multimedia tools. You will have access to the Online Learning Environment (OLE), which is a web-accessed learning environment. Via the OLE, you can communicate with your assigned academic tutor, administrators and other students on the course using discussion forums. The OLE also provides access to the course Study Guide and assignments, as well as a selection of electronic journals available on the University of London Online Library. In addition, some course material will also include video lectures on DVD, CDs of case studies, and econometric software.
A Welcome Pack is available online, which provides you with resources and tips on effective distance learning. We will also send you a Study Skills textbook to help you manage your studies.

Your time commitment

This will depend partly on choices you make, but most students take two years to complete Postgraduate Diploma. The study calendar consists of five sessions per year. Each session is devoted to a specific module and lasts eight weeks (with the exception of the first session which runs for 10 weeks). During each session you will need to allocate between 15-20 hours per week to complete the programme.

Summary of key dates

Application deadline	8 October 2012	17 December 2012	3 April 2013	4 June 2013
Start date	3 December 2012	18 February 2013	20 May 2013	22 July 2013
Examinations	Late September-October

Structure and Syllabus

Four modules from the following

Econometric principles and data analysis

This course provides an introduction to econometric methods, examining how we can start from relationships suggested by economic theory, formulate those relationships in mathematical and statistical models, estimate those models using sample data, and make statements based on the parameters of the estimated models. You are provided with Eviews econometric software as part of the course. We recommend that you take this course before progressing onto the more advanced sequel 'Econometric Analysis and Applications'.

Unit 1: Introduction to Econometrics and Regression Analysis
Unit 2: The Classical Linear Regression Model
Unit 3: Hypothesis Testing
Unit 4: The Multiple Regression Model - Estimation, Hypothesis Tests and Multicollinearity
Unit 5: Heteroscedasticity
Unit 6: Autocorrelation
Unit 7: Nonnormal Disturbances
Unit 8: Model Selection and Course Summary

Econometric analysis and applications

'Econometric Analysis and Applications' is the second, more advanced, econometrics course offered to students wanting to broaden their understanding of the application of quantitative methods to economic inquiry. We recommend that you study the 'Econometric Principles and Data Analysis' course prior to this. The course assumes that you have studied the classical linear regression model at an introductory level and that you are familiar with the assumptions that underlie that model. You will be aware that there are many cases in which these assumptions are not satisfied, and know how such problems as heteroscedastic disturbances and autocorrelated errors can be detected, and what can be done about them. It is assumed, too, that you have a basic working knowledge of the econometric software, Eviews, introduced previously in 'Econometric Principles and Data Analysis', although basic instructions for using the program are provided here too.

Unit 1: Dummy Variables
Unit 2: Dynamic Models - Lags and Expectations
Unit 3: Simultaneous Equation Models
Unit 4: The Identification Problem
Unit 5: Simultaneous Equation Models - Estimation
Unit 6: Univariate Time Series - Stationarity and Non-stationarity
Unit 7: Multivariate Time Series Analysis
Unit 8: Forecasting

Financial econometrics

We define financial econometrics as 'the application of statistical techniques to problems in finance'. Although econometrics is often associated with analysing economics problems such as economic growth, consumption and investment, the applications in the areas of finance have grown rapidly in the last few decades.

Financial markets and others generate vast amounts of data on asset returns, their volatility, and other financial variables in long and high-frequency time series. The ability to analyse market behaviour requires knowledge of the properties of time series and appropriate estimation methods. Since the early 1980s techniques for analysing time series, which exhibit auto-regression, have yielded important studies of financial markets, increasing our knowledge of financial variables’ volatility. The objective of the course is to extend your knowledge and equip you with methods and techniques that allow you to analyse these finance-related issues.

Before starting this course, we recommend that you first complete 'Econometric principles and data analysis' [C330] and 'Econometric analysis and applications' [C332].

Unit 1: Statistical Properties of Financial Returns
Unit 2: Matrix Algebra, Regression and Applications in Finance
Unit 3: Maximum Likelihood Estimation
Unit 4: Univariate Time Series and Applications to Finance
Unit 5: Modelling Volatility – Conditional Heteroscedastic Models
Unit 6: Modelling Volatility and Correlations – Multivariate GARCH Models
Unit 7: Vector Autoregressive Models
Unit 8: Limited Dependent Variable Models

Risk management: principles and applications

This course examines the techniques and the foundation of risk management in corporations. It covers the use of derivatives, portfolio allocation, the value of risk, and the management of credit risk and operations risk. The course includes cases and applications.

Unit 1: Introduction to Risk Management
Unit 2: Portfolio Analysis
Unit 3: Management of Bond Portfolios
Unit 4: Futures Markets
Unit 5: Options Markets
Unit 6: Risk Management with Options
Unit 7: Value at Risk
Unit 8: Credit Risk

Derivatives

The expansion of financial markets since 1973 has been founded on the growth of derivatives, both over the counter derivative contracts and exchange traded contracts. It was made possible by the development of models for valuing derivatives based upon the mathematics of stochastic calculus. In this course you learn the application of those principles to the valuation of derivatives.

Unit 1: Derivatives Contracts
Unit 2: Properties of Stock Options
Unit 3: The Behaviour of the Stock Price and the Black-Scholes model
Unit 4: Greek Letters and Trading Strategies
Unit 5: Interest Rate Models
Unit 6: Credit Derivatives and Credit Risk
Unit 7: Some Exotic Options
Unit 8: Further Numerical Procedures

Modelling firms and markets

Modelling firms and markets is an introduction to the economics of information and uncertainty. Multi-person decision problems play a crucial role in industrial economics. This course begins with the basic concepts of game theory - the problems of decision-making under a multi-person environment. We will then examine the problems of private information and analyse the role of asymmetric information in market interactions, in particular the problems known as moral hazard (hidden actions) and adverse selection (hidden characteristics) under various economics contexts. You will learn how these informational problems affect the market outcome and if they lead to market inefficiencies, and if so, possible solutions.

Unit 1: Static Games of Complete Information
Unit 2: Dynamic Games of Complete Information
Unit 3: Static Games of Incomplete Information
Unit 4: Dynamic Games of Incomplete Information
Unit 5: Hidden Action (Moral Hazard)
Unit 6: Hidden Characteristics (Adverse Selection)
Unit 7: Auctions
Unit 8: General Competitive Equilibrium

How you study

Without leaving your job or home you can study, write and submit assignments, receive expert guidance from your CeFiMS tutor and advice from the student support team. In addition to printed study materials, the Online Learning Environment allows students to work with course materials, send queries to tutors and submit assignments via the Internet.

When you take a CeFiMS distance learning course you will be sent everything you need to complete your studies. A typical set of course learning materials would include:

The Study Guide, a core text specially written for the course. This takes the form of a looseleaf binder containing eight ‘course units’. The units are carefully structured to provide the main teaching of the course, defining and exploring the main concepts and issues, locating these within current debate and introducing and linking the further assigned readings.
Textbooks and collections of key journal articles and book extracts.
Online and multimedia tools. You will have access to the OLE, which is a web-accessed learning environment. Via the OLE, you can communicate with your assigned academic tutor, administrators and other students on the course using discussion forums. The OLEalso provides access to the course Study Guide and assignments, as well as a selection of electronic journals available on the University of London Online Library. In addition, some courses materials will also include video lectures on DVD, CDs of case studies, and econometric software.
A Welcome Pack is available online, which provides you with resources and tips on effective distance learning. We will also send you a Study Skills textbook to help you manage your studies.

Online Learning Environment

Created by CefiMS to provide additional resources and support, the OLE allows you to:

access study materials that complement printed texts
submit assignments
communicate with tutors
contact support staff regarding administrative queries
access online resources provided by the Univeristy of London Library including full-text journal databases of JSTOR and EBSCO.

Note: Students who are eligible to use the OLE are automatically contacted by CeFiMS staff and given information about how to access the system for their course.

Fees

Fees may be paid in one of two ways:

Either, pay the total fee on registration by making a single payment for all the module fees;

Or, if you prefer to spread out your payments, pay the fee for each module you want to take in the first year, and then in subsequent years pay the fee for each new module you take.

Fees are subject to annual review. The 2012-2013 fees take effect from 1 August 2012.

	2012-13
Fee per course	£ 1,230
Total Postgraduate Diploma	£ 4,920






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Other costs

In addition to the fees payable to the University, you should also budget for

the fee charged to your local examination centre to cover its costs; this fee will vary
customs duties/taxes where these are payable on educational materials, including educational USB stick/CDs. We recommend that you check the status of imported educational materials with your country’s customs authorities.

Note

The University reserves the right to amend previously announced fees, if necessary. For a full list fees that may be applicable, please see the fee schedule.

Academic Requirements

In order to be considered for registration applicants must have:

Either
A good degree in finance, economics, or other appropriate discipline, from a university or other institution acceptable to the University (qualifications in other subjects will be assessed on their merits)

Or
Previous education and experience without a First degree, which satisfies the University as a qualification on the same level as a First degree approved under (a) for this purpose, and which has included suitable preliminary training.

For some courses you will require a CD drive and DVD player. Also, please note that you will need to have access to a PC rather than a Mac if you are using econometric software such as EViews.

Please visit the EduGarage website [external link] to find out which browsers, plugins and operating systems best support Blackboard 8.0 for the Online Study Centre.

You are required to have internet access to participate in this programme.

Language Requirements

For awards at FHEQ level 7, students must provide satisfactory evidence showing that they have passed within the previous three years a test of proficiency in English at the following minimum level:

IELTS with an overall grade of at least 6.5 with a minimum of 6 in each sub test; or
TOEFL with a score of 250 on the computerised test plus a Test of Written English (TWE of at least 4.5); or
a test of proficiency in English language from the prescribed list published by the Universtiy.

Where an applicant does not meet the prescribed English language proficiency requirements but believes that they can demonstrate the requisite proficiency for admission the University may, at its discretion, consider the application.

Note: Some programmes will require greater proficiency in English language; these requirements will be reflected in the relevant programme regulations.

Computer Requirements

Online access and general computer requirements
As one of our students you need to have regular access to a computer and the internet; this may be for accessing the Student Portal, downloading course materials from the Virtual Learning Environment, and accessing resources from the Online Library. You will also need to have access to appropriate software, for example, a PDF reader and suitable hardware capacity on your computer, e.g. for document storage. Additional requirements include that you have JavaScript and cookies enabled to access particular online systems, for example, the Student Portal.

Supported Browsers include:
Internet Explorer 7+
Firefox 5+
Chrome 13+

Screen resolution (recommended)
1024 x 768 or greater

Certain programmes may have their own specific requirements, please refer to the relevant Regulations.

Quantitative Finance (Postgraduate Diploma)