Mathematical and Computational Finance

The course provides you with a strong mathematical background with the skills necessary to apply your expertise to the solution of real finance problems. You will develop skills so that you are able to formulate a well posed problem from a description in financial language, carry out relevant mathematical analysis, develop and implement an appropriate numerical scheme and present and interpret these results.

Graduate destinations

MSc graduates have been recruited by prominent investment banks and hedge funds. Many past students have also progressed to PhD-level studies at leading universities in Europe and elsewhere.

The course lays the foundation for further research in academia or for a career as a quantitative analyst in a financial or other institution.

You will take three introductory courses in the first week. The introductory courses cover partial differential equations, probability and statistics and MATLAB.

The first term focuses on compulsory core material, offering 80 hours of lectures and 40 hours of classes/practical. The core courses are as follows:

• Stochastic Calculus
• Financial Derivatives
• Numerical methods I - Monte-Carlo
• Numerical methods I - Finite Differences
• Statistics and financial data analysis
• Financial Programming with C++ 1

In the second term, three streams are offered; each stream consists of 32 hours of lectures and 16 hours of classes/practical. The Tools stream is mandatory and you will also take either the Modelling stream or the Data-driven stream.

Modelling stream

• Exotic derivatives
• Stochastic volatility, jump diffusions
• Commodities
• Fixed income
• Credit derivatives

Data-driven stream

• Asset pricing and inefficiency of markets
• Market microstructure and trading
• Algorithmic trading
• Advanced financial data analysis
• Econometrics of volatility
• Machine learning

Tools stream

• Numerical methods 2 - Monte Carlo methods
• Numerical methods 2 - Finite differences
• Calibration
• Optimisation
• Introduction to stochastic control

As well as the streams, the course includes a compulsory one-week (24 hours of lectures) intensive module on quantitative risk management which is to be held in/around the week before the third term.

The third term is dedicated to a dissertation project which is to be written on a topic chosen in consultation with your supervisor.

The second component of the financial computing course, Financial Computing with C++ 2 (24 hours of lectures and practicals in total), is held shortly after the third term.

The examination will consist of the following elements:

• two written examinations and one take-home project, each of two hours' duration - the written examinations will cover the core courses in mathematical methods and numerical analysis
• a written examination on the Modelling stream or a written examination and a computer-based practical examination on the Data-driven stream
• a written examination assessing the Tools stream
• a take-home project assessing the course in quantitative risk management
• two practical examinations assessing two courses in financial computing with C++.

Applicants are normally expected to be predicted or have achieved a first-class or strong upper second-class undergraduate degree with honours (or equivalent international qualifications), as a minimum, in mathematics or a related discipline. 

Applicants should have a background in probability, statistics, ordinary and partial differential equations, linear algebra and analysis. They must demonstrate their aptitude for, and knowledge of, mathematics, particularly in the area of real analysis, through their performances in the admissions test and at interview. Applicants with undergraduate degrees that are not purely mathematical will still be expected to demonstrate they have sufficient knowledge to perform well on the course.

For applicants with a degree from the USA, the minimum GPA sought is 3.6 out of 4.0.

If you hold non-UK qualifications and wish to check how your qualifications match these requirements, you can contact the National Recognition Information Centre for the United Kingdom (UK NARIC).

No Graduate Record Examination (GRE) or GMAT scores are sought.

• Official transcript(s)
• CV/résumé
• Statement of purpose/personal statement: Up to three pages
• Admissions exercise: MSc in MCF admissions exercise answers with signed disclaimer
• References/letters of recommendation:Three overall, generally academic

ENGLISH LANGUAGE REQUIREMENTS

Higher level

• Global Education
• Hill Foundation Scholarships