Financial Mathematics

City University London
In Islington (Grossbritannien)

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Wichtige informationen

  • Postgraduate
  • Islington (Grossbritannien)
  • Wann:
    Freie Auswahl
Beschreibung

At The City Law School we offer education and training for every step of your legal career. Taught in the heart of legal London, our law courses give you the essential legal skills and knowledge needed to be successful in law.

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Wo und wann

Beginn Lage
Freie Auswahl
Islington
Northampton Square, EC1V 0HB , London, Grossbritannien
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IT Law
Management
Risk
Induction
Staff
Options
Securities
Credit
Basic
IT
Basic IT training
Basic IT
Statistics
Teaching
Mathematics
Calculus
Financial Mathematics
Finance
Financial
Law
University
School
Project
Engineering
IT risk
Financial Training
Derivatives
Programming
IT Management
GCSE Mathematics
Probability
Skills and Training

Themenkreis

Financial Mathematics
  1. 2016 Entry
  2. 2017 Entry
  • Overview
  • Course content
  • Teaching staff
  • Accreditations
  • Entry requirements
  • Tuition fees and term dates
  • Career opportunities
Overview

Intake: September only
Duration: 12 months full-time
Fees: £23,000 (full-time)
Financial support: Please see our Scholarships page
Application deadline: None - rolling admissions

The MSc Financial Mathematics draws on tools from applied mathematics, computer science, statistics and economic theory to prepare you for roles in which you will combine in-depth knowledge of financial products and risk with sophisticated technical and programming skills.

You will acquire solid knowledge of probability theory and stochastic processes, numerical analysis and programming languages, asset pricing theory and risk analysis, with special emphasis on valuation and risk management.

Typical career paths of graduates from our MSc Financial Mathematics include research positions (in both financial and academic institutions), or roles involving the development, management and improvement of derivatives models using advanced programming languages, and model validation such as Equity/Equity Derivatives Quant, Quantitative Financial Engineer, or Quantitative Risk Analyst.

This programme is rigorous with respect to the mathematics but also places great emphasis on linking theory with real world developments. You will often be exposed to the teaching of real world practitioners from the City of London.

Cass's proximity to the City of London, and our close links to many of its institutions, will help you to access outstanding networking and career opportunities.

The beauty of studying a financial mathematics course at a business school is that there is a good balance between the theoretical, technical and also the application.
Leon Bezverkhni, MSc in Financial Mathematics

Leon describes more of his experiences at Cass....


Individual Appointments

If you would like to arrange an individual appointment to discuss this programme please email Donna Coombs.

Apply now >

Course content

We review all our courses regularly to keep them up-to-date on issues of theory, practice and relevance. Therefore, there might be some late changes to the detailed content of the modules and occasionally to module titles.

To satisfy the requirements of the degree programme, students must complete:

nine core courses

and

five electives

or

one elective and a Business Research Project

Two Induction Weeks The Financial Mathematics course starts with two compulsory induction weeks, focused on:

  • an introduction to careers in finance and the opportunity to speak to representatives from over 75 companies during a number of different industry specific fairs.
  • a reminder course of advanced financial mathematics, statistics and basic computing which forms a prerequisite of the core modules in term 1.
Term 1

Four core modules

Asset Pricing

This course introduces students to the basic concepts used for pricing and analysing financial securities, focusing on spot markets. The efficiency of financial markets is discussed together with the question of whether stock prices are predictable. The importance of the risk and its trade off with return will be analysed in depth. The course is academically rigorous in outlining theoretical models but also focuses on the practical applications and discusses empirical finding.

Numerical Methods 1: Foundations

This module introduces basic concepts used in numerical methods and integrates them with a programming language. This module is lab based and will cover Root finding and non-linear sets of equations; Solution of linear systems; Interpolation and extrapolation; Integration of functions; Partial differential equation; Generation of random number. This module uses Matlab as the programming language and does not require any prior knowledge of programming.

Mathematical Models for Financial Derivatives

The course will develop an in depth understanding of the theoretical framework for the valuation and hedging of derivatives contracts. In particular, the module covers the application of the no-arbitrage principle for the pricing of forward, futures and options. Emphasis will be given to the risk neutral valuation principle, and the Black-Scholes-Merton option-pricing model. The module also offers an introduction to the theory of the term structure of interest rates. The course combines mathematical rigour and practical applications, and it relies on the fundamental concepts of stochastic calculus developed in the corresponding module.

Stochastic Calculus

The course aims at providing students with the tools required for a rigorous understanding of financial modelling and pricing techniques, and therefore provides the mathematical grounding for the course in Mathematical Models for Financial Derivatives. The module covers probability theory, Brownian motion and Itô calculus, the Girsanov theorem and its applications to the pricing of financial securities.

In addition all students will study the Research Methods for Quantitative Professionals module

Term 2

Four core modules

Fixed Income Securities

This module will acquaint students with the main modelling used in fixed income securities as well as provide students with a good understanding of various fixed income security products. It will enable students to use models in this area for practical applications.

Numerical Methods 2: Applications in Finance

This module builds on Numerical Methods 1 and focuses on applications to finance. Students will learn how to generate Stochastic Processes; Monte Carlo Simulations; Trees; Pricing American Options; Applications in Risk Management. This module again integrates the programming language Matlab and is lab based.

Risk Analysis

The aim of this module is to develop a solid background for evaluating, managing and researching financial risk. To this end students will learn to analyse and quantify risk according to current best practice in the markets, as implemented in the RiskMetrics and CreditMetrics methodologies.

Advanced Stochastic Modelling Methods in Finance

This module will cover recent advances in mathematical finance and financial engineering which go beyond the standard Black-Scholes framework, like the applications of Lévy processes and optimal control in finance. The course is the continuation of the term 1 modules Mathematical Models for Financial Derivatives and Stochastic Calculus, and provides students with a thorough understanding of the pricing and hedging of financial securities in incomplete markets.

Term 3

Five electives*

OR

One elective and a Business Research Project

Electives

You may choose from a wide variety of electives. Electives that were offered in 2015 were:

  • Introduction to Copula Modelling
  • Stochastic Asset Models
  • Topics in Quantitative Risk Management
  • Hedge Funds
  • Behavioural Finance
  • Credit Risk Management
  • Trading and Market Microstructure
  • Ethics, Society and the Finance Sector
  • Energy and Water Derivatives
  • Technical Analysis and Trading Systems
  • Advanced Financial Engineering and Credit Derivatives
  • Advanced Options Trading
  • Trading and Hedging in the Forex Market
  • Introduction to C
  • VBA with application for Finance
International Electives
  • Investment Management (Taught in a block format in New York)
  • Monetary Policy (Taught in a block format in Singapore)

*If you are a Tier 4 student visa holder and wish to follow the five electives route in the third term your formal course end-date will be moved forward to 31 July 2015. City University has a legal obligation to report the change in your circumstances to UKVI (UK Visas and Immigration). Consequently, your Tier 4 student visa will be curtailed (shortened) to 60 days after the new course end date (to the end of September). The University cannot continue to sponsor your Tier 4 visa after the completion of the electives as continued engagement with the course is no longer required.

If you choose to undertake the Business Research Project as part of your Masters course then your visa will run for the full the length of programme.

If you want any advice about the implications of taking the elective modules on your Tier 4 visa, please contact the University's International Student Advice team.

MSc Research Project

Students have the option of studying five specialised electives in term three to give them a breadth of subject matter. Alternatively if students would like to study one particular area of interest in depth they have the option of taking one elective and completing a Business Research Project, which in some cases may be completed in partnership with a sponsoring organisation.

The Project will be of approximately 8,000 words. This offers an opportunity to specialise in a contemporary finance topic related to students' future careers. The Project should be based on independent research either in the context of a single organisation or using third-party sources.

Students are encouraged from the start of the course to think about a topic for their Project. A member of academic staff supervises the project, and the student may choose whom they would like to work with. The Project must be submitted by the end of August. Company sponsored projects are encouraged and a number of such projects may be available.

Many students use this opportunity to complete a project in conjunction with an organisation they might want to work for. This gets their foot in the door and can lead to permanent employment post programme, whilst earning course credit.

Some recent projects:

  • The Pricing Asian Options Using a Mean Reverting Log Process Model
  • Numerical Methods for the Pricing of Discreetly-Valued European Lookback Options
  • Can the Double T Copula Solve the Problems of Pricing CDOs and CDO Squared?
  • Pricing of Arithmetic Average Asian Options
  • An Extreme Value Approach to quantify Operational Risk
  • Valuation of Synthetic CDO
  • Pricing Exotic Options - Models and Simulations
  • The Use Of Convertibles In Corporate Strategy
  • Performance Persistence and Managerial Ability of U.S. Mutual Funds
  • Credit Risk Assessment in a Banking Environment: Assessing Customer Credit Risk?

Teaching staff

The teaching staff on the MSc in Financial Mathematics have many years of practical experience working in the financial services sector and are also active researchers in their fields

This knowledge and experience inform the highly interactive lectures that make up the MSc in Financial Mathematics.

Course Director

Dr Dirk Nitzsche

Other Module Leaders include:
  • Prof. Keith Cuthbertson
  • Prof. Giovanni Urga
  • Dr Lorenzo Trapani
  • Dr Laura Ballotta
  • Dr Ioannis Kyriakou
  • Dr Gianluca Fusai
  • Dr Max Bruche
  • Prof Aleš Cerny
Teaching staff on Cass Talks

Some of the lecturing staff on the MSc in Financial Mathematics have taken part in recent editions of Cass Talks.

Dr Dirk Nitzsche on Mutual Funds.

Prof. Keith Cuthbertson on female quotas for boards

Accreditations

Cass Business School is among the global elite of business schools that hold the gold standard of 'triple-crown' accreditation from the Association to Advance Collegiate Schools of Business (AACSB), the Association of MBAs (AMBA) and the European Quality Improvement System (EQUIS). We are consistently ranked amongst the best business schools and programmes in the world which, coupled with an established 40-year reputation for excellence in research and business education, enables us to attract some of the best academics, students and businesses worldwide into our exclusive Cass network.

Entry requirements

Documents required for decision-making

  • Transcript/interim transcript
  • Current module list if still studying
  • CV
  • Personal statement (500-600 words)
Documents which may follow at a later date
  • IELTS result, if report available
  • Confirmation of professional qualification examinations/exemptions/passes, if applicable
  • Two references
  • Work experience is not a requirement of this course
  • For a successful application to receive an unconditional status all documents must be verified, so an original or certified copy of the degree transcript must be sent by post to Specialist Masters Programme Office, 106 Bunhill Row, London, EC1Y 8TZ, UK

We cannot comment on individual eligibility before you apply and we can only process your application once it is fully complete, with all requested information received.

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The entry requirements for the MSc Financial Mathematics are as follows:

Degree Level
  • A UK 2.1 or above, or the equivalent from an overseas institution
  • Previous degree must be in a highly quantitative subject such as mathematics, physics or engineering, having covered areas such as calculus, statistics, probability theory and linear algebra

Read more

Course Syllabus

You may be requested to provide a syllabus of specific modules undertaken during your studies as part of the assessment process. This is not required at the point of submitting an application and will be requested directly by the admissions team only if required as part of the assessment.

References

Applicants will need to submit two references, one of which MUST be an academic reference.

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English Requirements

  • If you have been studying in the UK for the last three years it is unlikely that you will have to take the test
  • If you have studied a 2+2 degree with just two years in the UK you will be required to provide IELTS results and possibly to resit the tests to meet our requirements.
IELTS

The required IELTS level is an average of 7.0 with a minimum of 6.5 in the writing section and no less than 6.0 in any other section.

Read more

Please note that due to changes in the UKVI's list of SELTs we are no longer able to accept TOEFL as evidence of English language for students who require a CAS as of April 2014.

Work Experience

Work experience is not a requirement, but please provide details of relevant experience that might enhance your profile. This information will be included in your CV which is required with all applications.

Tuition fees and term dates

Tuition fees 2016/7

Application fee: Nil

Tuition fees: £23,000 Currency Converter

Deposit: £2,000 (paid within 1 month of receiving offer and non-refundable unless conditions of offer are not met)

First instalment: Half fees less deposit (to be paid at registration)
Second instalment: Half fees (paid in January following start of programme)

Term dates 2016/7

In-Person Registration (all students must attend): Commences 12 September 2016

Compulsory Induction: 12 - 23 September 2016

Term I
26 September 2016 - 2 December 2016
Term I exams
9 January 2017 - 20 January 2017

Term II
23 January 2017 - 31st March 2017
Term II exams
24 April 2017 - 5 May 2017

Term III
8 May 2017 - 23 June 2017
Term III exams
26 June 2017 - 7 July 2017

Submission deadline for Business Research Project
1 September 2017

Official Course End Date
30 September 2017

Career opportunities

Many graduates from the MSc in Financial Mathematics progress to one of two fields:

  • derivatives valuation and portfolio management within investment houses
  • research departments within banks and consultancy firms
MSc in Financial Mathematics Employability

Our Graduate Destination Survey of the MSc in Financial Mathematics class of 2014 shows that 66.6% of graduates are now in work.

Some examples of where graduates from the MSc in Financial Mathematics class of 2014 are working are:

  • Bank of China - Management Trainee
  • Santander - Credit Fraud Analyst
  • Renaissance Re - Analyst
  • Deutsche Bank - Bookrunner

You can also view data from our Graduate Destination Survey (pdf) from 2014.

Cass Careers Service