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1. Admissions/ Management Information
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Title of the programme – including any lower awards
Please provide the titles used for all awards relating to this programme. Note: all programmes are required to have at least a Postgraduate Certificate exit award.

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Masters MSc Financial Engineering
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Postgraduate Diploma N/APlease indicate if the Postgraduate Diploma is available as an entry point, ie. is a programme on which a student can register, is an exit award, ie. is only available to students exiting the masters programme early, or both.N/A
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Postgraduate Certificate
PGCert Financial Engineering
Please indicate if the Postgraduate Certificate is available as an entry points, ie. is a programme on which a student can register, is an exit award, ie. is only available to students exiting the masters programme early, or both.Exit
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Level of qualificationLevel 7
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This document applies to students who commenced the programme(s) in:2019
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Awarding institutionTeaching institution
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Unviersity of York University of York
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Department(s):
Where more than one department is involved, indicate the lead department		Board of Studies
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Lead Department EconomicsEconomics
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Other contributing Departments: Mathematics
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Route code
(existing programmes only)		PMMATSFEN1
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Admissions criteria
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An undergraduate degree equivalent to class 2:1 or higher UK degree in a discipline with sufficient background in mathematical sciences, economics and finance; or an undergraduate degree equivalent to a class 2:2 or higher UK degree in a mathematics-based subject (in a widely understood sense, including certain degrees in science) and completing the online pre-sessional course in Mathematics or Economics. Competence in computing is desirable. Professional experience in quantitative finance will be an advantage, but not a prerequisite, which can compensate to some extent for limited formal training. Each applicant will be assessed individually to ensure that his/her academic and/or professional background is appropriate. Documented professional track record in quantitative finance will be considered alongside academic record. Overseas candidates would also need to demonstrate a good command of English as evidenced, for example, by IELTS grade 6.5 or TOEFL (Academic Test) with a score of at least 580 (or 237 in the computer-based test or 92 in the internet-based test).
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Length and status of the programme(s) and mode(s) of study
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ProgrammeLength (years/ months) Status (full-time/ part-time)
Please select		Start dates/months
(if applicable – for programmes that have multiple intakes or start dates that differ from the usual academic year)		Mode
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Face-to-face, campus-basedDistance learningOther
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MSc in Financial Engineering1 yearFull-timeOctoberPlease select Y/NYesPlease select Y/NNo
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Language(s) of study
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English
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Language(s) of assessment
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English
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2. Programme accreditation by Professional, Statutory or Regulatory Bodies (PSRB)
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2.a. Is the programme recognised or accredited by a PSRB
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Please Select Y/N: Noif No move to section 3
if Yes complete the following questions
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3. Additional Professional or Vocational Standards
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Are there any additional requirements of accrediting bodies or PSRB or pre-requisite professional experience needed to study this programme?
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Please Select Y/N: Noif Yes, provide details
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4. Programme leadership and programme team
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4.a. Please name the programme leader for the year to which the programme design applies and any key members of staff responsible for designing, maintaining and overseeing the programme.
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Paola Zerilli (Economics) and Tomasz Zastawniak (Mathematics).
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5. Purpose and learning outcomes of the programme
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5.a. Statement of purpose for applicants to the Masters programme
Please express succinctly the overall aims of the programme as an applicant facing statement for a prospectus or website. This should clarify to a prospective masters student why they should choose this programme, what it will provide to them and what benefits they will gain from completing it.
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The MSc in Financial Engineering provides a high quality postgraduate-level course that combines methods of applied and computational mathematics with those of econometrics and quantitative finance. Graduates of this programme have the technical, analytical and problem-solving skills required to undertake roles in quantitative finance in investment banks and other financial institutions. The MSc also equips graduates for roles in fund management, insurance, the actuarial profession, taxation, or for continued study to PhD level.
With this MSc you will be able to use, with a high level of confidence and sophistication, the financial mathematical language and tools that underpin a wide range of research and applications in science, technology and industry. You will learn to draw on these tools to address real world financial problems. The programme is taught jointly by the Departments of Mathematics and Economics, drawing on the expertise of academics working in both disciplines. This programme is part of the rich and active research environment in Financial Mathematics at York. You will benefit from cutting-edge expertise in the full range of disciplines that contribute to the field of financial engineering and the latest developments in financial markets.
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5.a.i Statement of purpose for applicants registering for the Postgraduate Diploma programme
Please express succinctly the overall aims of the programme as an applicant facing statement for a prospectus or website. This should clarify to a prospective diploma student why they should choose this programme, what it will provide to them and what benefits they will gain from completing it.
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N/A
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5.b.i. Programme Learning Outcomes - Masters
Please provide six to eight statements of what a graduate of the Masters programme will be able to do.
If the document only covers a Postgraduate Certificate or Postgraduate Diploma please specify four to six PLO statements in the sections 5.b.ii and 5.b.iii as appropriate.
Taken together, these outcomes should capture the distinctive features of the programme. They should also be outcomes for which progressive achievement through the course of the programme can be articulated, and which will therefore be reflected in the design of the whole programme.
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PLOOn successful completion of the programme, graduates will be able to:
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1Evaluate complex and unpredictable financial problems and formulate effective strategies to resolve them using financial mathematical investigation techniques.
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2Proficiently deploy mathematical, financial and computational languages and tools to address real world financial problems, including working flexibly with specific mathematical and statistical software.
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3Critically analyse mathematical, theoretical and financial models and statements to determine their validity with the aim of revising and adapting them to various contexts in an informed and well-reasoned fashion.
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4Identify and adapt appropriate statistical models to analyse econometric data with the aim of determining patterns of unpredictable stochastic shocks and predicting potential future financial outcomes.
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5Communicate technical information clearly, combining expert and proficient use of mathematical, statistical and financial terminology with more intuitive summaries of complex concepts for any non-expert readers.
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6Handle different disciplinary and professional contexts through adapting formal mathematical and computation logic to financial and statistical applications.
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7Independently plan and execute projects through integrating and adapting mathematical, computational, financial and statistical skills, developing strategies and models to investigate problems and proposing recommendations informed by appropriate research.
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8Conduct effective literature searches, including using bibliographic databases, through identifying and critically evaluating the relevance, validity and currency of the information and the reliability of the source.
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5.c. Explanation of the choice of Programme Learning Outcomes
Please explain your rationale for choosing these PLOs in a statement that can be used for students (such as in a student handbook). Please include brief reference to:
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i) ... in what way will these PLOs result in an ambitious, challenging programme which stretches the students?
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Each PLO represents a challenge to the student to develop existing skills to a higher level. Through each stage the level of challenge is raised, as more depth or complexity is encountered. In studying mathematics, finance, financial econometrics, each stage builds naturally on the attainments of the previous one, as foundational ideas are developed into fully fledged theories or methodologies. Those who fully rise to this challenge will be prepared to contribute to financial engineering at the research frontier, by mastering, applying and integrating all the skills learnt during the programme.
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ii) ... in what way will these PLOs produce a programme which is distinctive and advantageous to the student?
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The outcomes identify six basic areas, which can be summarised as:
problem solving, technique, critical thinking, data analysis, communication, digital literacy, scholarship. When possessed together they give each student the
abilities and understanding to lead in any environment where the
precision and clarity of mathematical and financial thinking are valuable.
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iii) ... how the design of the programme enables students from diverse entry routes to transition successfully into the programme? For example, how does the organisation of the programme ensure solid foundations in disciplinary knowledge and understanding of conventions, language skills, mathematics and statistics skills, writing skills, lab skills, academic integrity
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A special feature of the York graduate programme is the availability of the Summer Session for students who, in the opinion of the Graduate School, have the ability to successfully complete the one-year Masters programme, but whose background is not a first degree in economics or with a significant economics content. Such candidates may possess a relevant professional qualification, a degree in another social science, or a science or engineering degree with a high quantitative and analytical content. The Summer Session is also available as a free-standing course of instruction for any graduate interested in acquiring greater knowledge of economics and quantitative techniques. Some candidates have been attending the Summer Session as a condition of their offer of a place on one of our MSc programmes.
All MSc students have access to a mathematics and statistics review taught over a week before the programme starts to help reduce the impact of heterogeneity of background. Any exam for the Maths review is formative, diagnostic only. In addition, students are directed to the excellent service provided by the Maths Skills Centre to fill gaps in their mathematics and statistics background which they can access throughout their programme. For candidates whose mathematics background needs reinforcing, the online pre-sessional course 'Mathematics for Quantitative Finance' is also available.
We work with CELT to provide bespoke English language training. We have in place a well-received provision in which each student receives a two hour session each week for eight weeks in the Summer Term to develop the language skills they need to write a dissertation. Lectures are run in the Autumn Term and we are exploring the possibility of moving the bulk of this support to an intensive 35 hour pre-sessional language course followed up with some lectures and one-on-one drop-in sessions.
Students are introduced to the fundamental mathematical, financial and statistical techniques by the core modules taught in the first term. They then have the possibility to develop their knowledge by learning the material taught in the second term and by starting applying and integrating the skills acquired at this stage. They have plenty of opportunities to master their skills during the dissertation process.
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iv) ... how the programme is designed to enable students to progress successfully - in a limited time frame - through to the end of the award? For example, the development of higher level research skills; enabling students to complete an independent study module; developing competence and confidence in practical skills/ professional skills. See QAA masters characteristics doument http://www.qaa.ac.uk/en/Publications/Documents/Masters-Degree-Characteristics-15.pdf
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After the initial introduction of structural skills in the first term, students are encouraged to combine the material learnt during classes with their own independent work focused on exploring original sources of literature, data analysis and computer programming in order to develop these skills in their own special and independent way. At this stage, they are still guided in a minimum invasive fashion. Once at the dissertation stage, they are encouraged to apply, integrate and eventually master all the different skills acquired previously.
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v) ... how this programme (as outlined in these PLOs) will develop students’ digital literacy skills and how technology-enhanced learning will be used to support active student learning through peer/tutor interaction, collaboration and formative (self) assessment opportunities (reference could be made to such as blogging, flipped classroooms, response 'clickers' in lectures, simulations, etc).
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The communication elements require students to master digital literacy for problem solving and for mastering a dissertation. In addition, all students will learn some programming, and a number of modules include the opportunity to use mathematics software (such as C++ and MatLab). Students become familiar with searching research databases and accessing fnancial market data during most taught modules as literature review and and practical implementation and testing of theoretical models is an integral part of their learning process.
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vi) ... how this programme (as outlined in these PLOs) will support and enhance the students’ employability (for example, opportunities for students to apply their learning in a real world setting)?
The programme's employablity objectives should be informed by the University's Employability Strategy:
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http://www.york.ac.uk/about/departments/support-and-admin/careers/staff/
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The PLOs cover a list of skills which are desired by employers: analytical reasoning, confidence with high level mathematics, clarity of communication, flexible thinking, the ability to learn, develop, apply, integrate and eventually master complex ideas quickly and precisely, and digital literacy. Support available to students to enable them to integrate skills acquired across the programme includes personal supervision, VLE discussion forums (Yorkshare and Moodle), availability of programme and module leaders for personal consultation during office hours, and feedback on formative work.
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viii) ... how learning and teaching on the programme are informed and led by research in the department/ Centre/ University?
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The vast majority of teaching staff are active in research, and through lectures, tutorials and seminars communicate the influence foundational ideas have on making progress in research. Students also explicitly connect with the principles of research through projects (dissertation) as well as having the option to choose modules in the final term which reflect their preferred specialisation and enable them to engage with financial engineering at the research frontier.
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5.d. Progression
For masters programmes where students do not incrementally 'progress' on the completion of a discrete Postgraduate Certificate and Postgraduate Diploma, please summarise students’ progressive development towards the achievement of the PLOs, in terms of the characteristics that you expect students to demonstrate at the end of the set of modules or part thereof. This summary may be particularly helpful to students and the programme team where there is a high proportion of option modules and in circumstances where students registered on a higher award will exit early with a lower one.

Note: it is not expected that a position statement is written for each masters PLO, but this can be done if preferred.
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On completion of modules sufficient to obtain a Postgraduate Certificate students will be able to:
If the PG Cert is an exit award only please provide information about how students will have progressed towards the diploma/masters PLOs. Please include detail of the module diet that students will have to have completed to gain this qualification as an exit award.
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To obtain the Postgraduate Certificate students need to complete at least 60 credits of taught modules. Any such combination of taught modules avaliable as part of the MSc in Financial Engineering meets the PLOs for the Postgraduate Certificate. By the completion of the Certificate students will not have achieved PLO's 7 and 8, but will have achieved the essential elements of PLO's 1 to 6, although their skills and depth of understanding of the material will be substantially lower as compared with students who complete the full MSc programme.
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On completion of modules sufficient to obtain a Postgraduate Diploma students will be able to:
If the PG Diploma is an exit award only please provide information about how students will have progressed towards the masters PLOs. Please include detail of the module diet that students will have to have completed to gain this qualification as an exit award.
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N/A
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6. Reference points and programme regulations
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6.a. Relevant Quality Assurance Agency benchmark statement(s) and other relevant external reference points
Please state relevant reference points consulted (e.g. Framework for Higher Education Qualifications, National Occupational Standards, Subject Benchmark Statements or the requirements of PSRBs): See also Taught Postgraduate Modular Scheme: Framework for Programme Design:
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6.b. University award regulations
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The University’s award and assessment regulations apply to all programmes: any exceptions that relate to this programme are approved by University Teaching Committee and are recorded at the end of this document.
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7. Programme Structure
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7.a. Module Structure and Summative Assessment Map
Please complete the summary table below which shows the module structure and the pattern of summative assessment through the programme.

IMPORTANT NOTE:
If the structure of your programme does not fit the usual academic year (for instance students start at the beginning of September or in January) please contact your Academic Quality Team contact in the Academic Support Office for guidance on how to represent the structure in an alternative format.

To clearly present the overall programme structure, include the name and details of each invidual CORE module in the rows below. For OPTION modules, ‘Option module’ or 'Option from list x' should be used in place of specifically including all named options. If the programme requires students to select option modules from specific lists by term of delivery or subject theme these lists should be provided in the next section (7.b).

From the drop-down select 'S' to indicate the start of the module, 'A' to indicate the timing of each distinct summative assessment point (eg. essay submission/ exam), and 'E' to indicate the end of teaching delivery for the module (if the end of the module coincides with the summative assessment select 'EA'). It is not expected that each summative task will be listed where an overall module might be assessed cumulatively (for example weekly problem sheets).

Summative assessment by exams should normally be scheduled in the spring week 1 and summer Common Assessment period (weeks 5-7). Where the summer CAP is used, a single ‘A’ can be used within the shaded cells as it is understood that you will not know in which week of the CAP the examination will take place. (NB: An additional resit assessment week is provided in week 10 of the summer term for postgraduate students. See Guide to Assessment, 5.4.a)
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http://www.york.ac.uk/about/departments/support-and-admin/registry-services/guide/

Please note that under University rules you may not study more than six modules simultaneously. The credit weight of the module does not matter for the purposes of this rule.
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Full time structure
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CreditsModuleAutumn TermSpring Term Summer Term Summer Vacation
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CodeTitle12345678910123456789101234567891012345678910111213
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20ECO00044MCore List ASAEA
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20MAT00020MMathematical Methods of
Finance		SEA
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10ECO00041MTime SeriesSEA
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10ECO00007M
Continuous-time Finance and Derivative AssetsSEA
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10ECO00017MFinancial EngineeringSEA
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10ECO00042MTopics in Financial
Econometrics		SEA
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10MAT00028MStochastic Calculus and Black-
Scholes Theory		SEA
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60ECO00045MDissertationSEA
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VariousTotal 30 credits option modules from List B, or List C, or List D*SE
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Various Total 30 credits option modules from List B, or List C, or List D* SE
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Various Total 30 credits option modules from List B, or List C, or List D* SE
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Please indicate when any Progression Board and Exam board will be held and when any reassessments will be submitted. NB: You are required to provide at least three weeks notice to students of the need for them to resubmit any required assessments, in accordance with the Guide to Assessment section 4.9
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Progression Board
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Reassessment
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Exam Board
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Part time structures
Please indicate the modules undertaken in each year of the part-time version of the programme. Please use the text box below should any further explanation be required regarding structure of part-time study routes.
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7.b. Optional module lists

If the programme requires students to select option modules from specific lists these lists should be provided below. If you need more space, use the toggles on the left to reveal ten further hidden rows.
Options are based on staff research interests and the number and range of topics covered will vary from year to year depending on staff availability. Options for this cohort will be posted during the academic year for the following stage and can be viewed on the departmental websites listed below
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Core List AOption List B (Aut)
*Timing of assessment may vary - see module descriptors for assessment information		Option List C (Spr)
*Timing of assessment may vary - see module descriptors for assessment information		Option List D (Aut/Spr)
*Timing of assessment may vary - see module descriptors for assessment information
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Econometric Methods for Research
Fixed Income Securities (10 credits) ECO00056MFinancial Risk Management (10 credits) ECO00021MC++ Programming with Applications in Finance (10 credits) MAT00021M
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ORPortfolio Selection and Management (10 credits) ECO00032MModelling of Bonds, Term Structure and Interest Rate
Derivatives (20 credits) MAT00009M
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Econometrics 1&2
Discrete-Time Modelling and Derivative Securities (20 credits) MAT 00023M