ETC3520: Foundations of Quantitative Finance

2 class tests worth 20% each. The class tests were pretty straightforward if you know the content relatively well, and a lot of the questions kind of mirror the tutorial questions. There will be some unexpected questions in there but if you prepare for the class tests well they will be fairly easy to tackle, the median grade for the class tests were HDs.

This unit covers to some detail the basic concepts that underlie financial engineering and finance in a more theoretical and mathematical sense. You skim through the surface on a wide variety of topics. The unit starts off with utility theory, the axioms for the expected utility theory to work and its violations, which brings you to the more realistic prospect theory. You are then given an introduction to measures of investment risk (think variance, tail value-at-risk, that sort of stuff).
The unit then gets more technical to have a run through of how we model stochastic processes, introductions to Brownian motion, martingales, stochastic calculus and Ito processes are taught before the 1st class test. This is where it gets quite complicated and some self-study is required to understand the underlying mathematics of these concepts, because Thanasi won’t teach you that.
The second half of this unit mainly concerns introducing derivatives and a brief introduction to term structures, what they are and how one would price it (in a discrete/continuous case) under given assumptions. Some would be familiar with the Black-Scholes Option Pricing technique and the Greeks from BFC2751 or other units, but in this unit it’s treated in a theoretical fashion.
I would say this unit is interesting in a lot of aspects, but only do it if you need your actuarial exemptions since it is kinda badly taught and you do most of your own learning anyways. If you’re interested in applicability of the knowledge you’ve learnt I would suggest doing BFC2751/3340 and if you want to learn the maths do ETC3510/MTH3251.
The exam was pretty hard and there were a lot of curveballs so be sure to be prepared for that, but I would say the concepts themselves, at least taught in this context is not too complicated.

Athanasios Pantelous. Not a very clear lecturer on what he expects from you in terms of applicability or mathematical ability but I’d say expect to study on your own (with other sources than his lecture slides) a lot more.

No sample and past exams available, but that might change as this is the first time the unit is run.

2.6 out of 5

Yes, with screen capture

Would definitely recommend the CT8/CM2 study guide from iFoA as they run through the content in compliance with the study guides, even though the notation used in the lecture slides differ from CT8/CM2 (and the tutorials what even). The mistake I made was not looking at the questions provided in these study guides so it is imperative that you look through them in your own time.

1x 2 hour lecture, 1x 1.5 hour tutorial

2019 S2

HD