Programme Structure (2015-2016)
Modules descriptions: Core Modules and Elective Modules
| Core Modules | Elective Modules | Term |
|---|---|---|
| Stochastic Processes | Autumn | |
| Theory of Finance | Autumn | |
| Mathematical Finance: an Introduction to Option Pricing Theory | Autumn | |
| Computing in C++ I: Programming in C | Autumn | |
| Quantitative Risk Management | Autumn | |
| Statistical Methods in Finance | Autumn | |
| Fixed income markets | Autumn | |
| Advanced Methods in Derivatives Pricing | Spring | |
| Interest Rate Models with Credit Risk, Collateral, Funding Liquidity Risk and Multiple Curves | Spring | |
| Computing in C++ II: Object Oriented Programming | Spring | |
| Advanced Topics in Volatility Modelling | Spring | |
| Algorithmic Trading and Machine Learning | Spring | |
| Dynamic Portfolio Theory | Spring | |
| Lévy Processes: Theory and Applications | Spring | |
| Numerical Methods for Finance | Spring | |
| Simulation Methods for Finance | Spring | |
| Stochastic Differential Equations | Spring |
Modules shown are for the current academic year, and are subject to change depending on your year of entry.
Outline
The MSc in Mathematics and Finance programme is a one-year postgraduate Master course that consists of a number of lecture modules and a research project. The lecture modules are offered in the autumn and spring terms, while the summer period is devoted to the project. In 2014-2015 the term dates are given as follows:
- Autumn Term(Saturday 3 October to Friday 18 December 2015)
- Week 1: Induction and Introductory Modules
- Week 2-11: Core and Elective Lecture Modules
- Spring Term(Saturday 9 January to Friday 25 March 2016)
- Week 1: Examinations of Autumn Term Modules
- Week 2-11: Core and Elective Modules
- Summer Term(Saturday 23 April to Friday 24 June 2016)
- Week 1: Examinations of Spring Term Modules
- Week 2-9: Project work
- Summer period(Saturday 25 June to Friday 9 September 2016)
- Project work continues
- Friday 9 September, 4.00pm, final deadline to hand in the thesis.
Lecture Modules
Candidates reading for the MSc in Mathematics and Finance follow seven compulsory core modules, and choose another two or three from a menu of elective modules offered in autumn and spring terms. The modules cover finance and economics background, fundamental mathematics, scientific computing, and statistical methodology.
Programming in C++
We regard it as essential that students become proficient in object-oriented programming. The computing environment at the college is based on wireless networking. Students must equip themselves, at their own expense, with a laptop running Windows. We will supply the software you need: Microsoft Visual Studio, Microsoft Office and Matlab, a software environment for scientific computing. The teaching in programming stretches over the autumn and spring terms and consists of lectures, laboratory sessions and a series of graded exercises which must be submitted.
The Project
The project is a substantial component of the Mathematics and Finance course, occupying up to 4 out of the 12 months of the MSc programme. It is a piece of original work undertaken by you under the direction of a project supervisor, and in most cases, an external supervisor, as described below. Our intention is that most projects will be carried out in association with a bank, finance house, hedge fund, consultancy or systems provider in the finance industry. The project may be an ‘internship’, where you work at the bank full time for 3 months, or a collaborative arrangement whereby you work at the College and visit the company on a regular basis to discuss the project.
Full details about the project can be found there: Link to Project details.