UCL Department of Mathematics

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Detailed Course Description

The UCL MSc in Financial Mathematics

because good science starts by looking at the data

Introduction

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. 

Programme Aims

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.

Programme Structure

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 lectures.

Compulsory modules:

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.

For full syllabus details and module timetables, please see the Courses and Modules Page