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Programme Aims and Structure (Financial Mathematics)

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.

Financial Mathematics Preparatory Course (FMPC)

MSc Financial Mathematics has introduced the new compulsory Financial Mathematics Preparatory Course (FMPC) beginning two weeks before the start of the official UCL academic year.

The FM-MSc preparatory course consists of an intensive introduction to measure theoretic probability theory and basic stochastic analysis in order to prepare students to apply these mathematical concepts in different financial contexts during later courses of the program. The course takes place from 10am to 5pm daily and consists of a mixture of lectures, self-study sessions and tutorials. If you would like to prepare for the course it is recommended that you revisit your lecture notes on any real analysis, measure theory and probability courses you may have taken during your undergraduate degree.

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 26 April 2021 - Friday 11 June 2021). The course is equivalent to 180 UCL credits. The programme normally consists of 4 compulsory components (60 credits), 4 optional components (60 credits), plus an individual project (60 credits). Each taught component corresponds to approximately 30 hours of lectures.

Modules in Term 1 (Monday 28 September 2020 - Friday 18 December 2020) are compulsory and those in Term 2 (Monday 11 January 2021 - Friday 26 March 2021) are elective, with exams taking place in Term 3. Please see the UCL Calendar 2020-21 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.

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 Financial Mathematics MSc Programme Director to discuss this option.