Detailed Course Description
The UCL MSc in Financial Mathematics
because good science starts by looking at the data
There is major interest in the Financial Services Industry
to raise the level of mathematics used in banks in applications to
pricing, hedging and risk management. This brand new MSc provides
students with the skills necessary in mathematics, statistics and
computation for a career in this fast developing field.
The emphasis in this new programme is to develop a sense of doing “good science”, where students are encouraged to explore the nature of financial data and to use this as a strong constraint on theoretical modelling.
The Masters level programme in Financial Mathematics has three main aims – to ensure that students have a knowledge of
- statistical analysis tools sufficient to understand the probability distributions that are key observables;
- mathematical modelling techniques embracing classical stochastic and pragmatic models;
- computational skills necessary to implement pricing, hedging, trading and risk management tools.
The programme lasts for one calendar year formally starting
in the last week of September. The programme is full time consisting of
taught components which are usually examined in the Third Term (Monday
22 April 2013 - Friday 7 June 2013). The programme normally consists of 4
compulsory components, 4 optional components, plus an individual
project. Each component corresponds to approximately 30 hours of
MATHGM21 Quantitative and Computational Finance (link to module information)
STATG017 Stochastic Methods in Finance (link to module information)
COMPG001 Financial Data and Statistics (link to module information)
COMPG003 Interest Rates and Credit Modelling (link to module information)
Optional modules (select 4):
MATHGF01 Numerical Analysis for Finance (link to module information)
COMPG004 Market Risk, Measures and Portfolio Theory (link to module information)
MATHGF04 Mathematics and Statistics of Algorithmic Trading (link to module information)
MATHGF03 Equities, Foreign Exchange and Commodities Modelling (link to module information)
STATG012 Statistical Inference (link to module information)
COMPG002 Applied Computational Finance (link to module information)
MATHGF02 Advanced Stochastic Analysis and Models (link to module information)
Both compulsory and optional modules are spread over terms 1 (Monday 24 September 2012 - Friday 14 December 2012) and 2 (Monday 7 January 2013 - Friday 22 March 2013) with exams taking place in term 3. Please see the UCL Timetable for more information.
Some components may include assessment by an element of coursework in addition to an examination. After the examinations, all students will then embark on an individual project with the submission early in September. The taught modules account for 2/3 of the final mark with the project making up 1/3. The course is equivalent to 72 ECTS, on the European Credit Transfer Scheme.
If students are unable to, or do not wish to, complete the project element, they may register for the Postgraduate Diploma in Financial Mathematics which only covers the taught elements. They should see the MSc tutor to discuss this option.
Page last modified on 21 sep 12 11:41