Contact: Kourosh Marjani Rasmussen, DTU Management Engineering, mail:
Financial engineering is a multidisciplinary field relating to the creation of new financial instruments and strategies. It is the process of employing mathematical models, financial theory and computer programming skills to make pricing, hedging, trading and portfolio management decisions. Financial engineering aims to precisely control the financial risk that a strategy or a financial product takes on.
Financial engineering can be applied to many different asset classes including equity, fixed income (ex. bonds), commodities such as oil or gold, as well as derivatives, swaps, futures, forwards, options, and instruments with embedded options.
To become a financial engineer, one must have a strong understanding of financial products and markets, basic financial theory, mathematical tools such as probability, time series and statistics, operations research, Monte Carlo simulation, risk management, differential equations, as well as software engineering.
Financial engineers are normally employed in the banking industry either as quantitative analysts or as part of product and strategy development or risk modeling and management teams. But they also get recruited by consulting firms or in larger companies' treasury departments.
Recommended courses:
General competence courses:
02409 Multivariate Statistics
02443 Stochastic Simulation
02610 Optimization and Data Fitting
Technological specialization courses:
42104 Introduction to Financial Engineering
42105 Financial Products
42123 Optimization in Finance
42106 Financial Risk Management
Recommended elective courses:
02407 Stochastic Processes
02417 Time Series Analysis
42111 Static and Dynamic Optimization
42112 Mathematical Programming with Modelling Software
42113 Network and Integer Programming