MSc in Financial Mathematics

Overview

The MSc in Financial Mathematics gives you the tools necessary to undertake high quality research in both financial and academic institutions.

As such, you will be equipped for roles involving the development of pricing and risk management models and their testing, or for a career as a risk analyst or quantitative analyst.

You will acquire an in-depth knowledge and understanding of financial mathematics. This will include financial mathematical theory and modelling, along with probability theory and programming which is then applied for asset pricing, modelling interest rates and risk management.

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.

Information Sessions

Find out more about the MSc in Financial mathematics at one of our regular Information Sessions:

On campus session: 16 May 2012 at 12.30

Book your place

Individual Appointments

If you would like to arrange an individual appointment to discuss this programme please email hugh.fairclough.1@city.ac.uk

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

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 (30 hours each)

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.

Term 2

Four core modules (30 hours each)

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 (18 hours each)

One elective and a Business Research Project

Electives

You may choose from a wide variety of electives. For example:

Hedge Funds
Exotic Options
Equity Investment
Technical Analysis and Trading Options
Advanced Financial Engineering and Credit
Trading & Hedging in the Forex market
Behavioural Finance
C/C++
Visual Basic

Research Methods module

This compulsory module trains students to undertake independent research either in the context of a single organisation or by using third-party sources. It provides the necessary tools and skills to initiate, research and write up a business project and includes training in research methodology, availability of data sources, project writing, time-management and presentation skills. These skills will be invaluable to students in their future career whether or not they choose to complete a project.

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?

Entry requirements

English Requirements

Every year we welcome students from around 100 different nations to study with us here at Cass. It is essential that all students have an excellent command of English in order to participate fully in the collaborative learning process. We therefore require all students who have not previously studied in English to sit an IELTS or TOEFL exam. If you are not a native English speaker but have studied or are studying in English at degree level, please submit a copy of your most recent English language test along with your application.

IELTS

The required IELTS level is an average of 7.0 with a minimum of 6.5 in writing.

TOEFL

For TOEFL we require 107 (Internet Based Test)

Our TOEFL code is 7650, department code 02

We do not offer a pre-sessional English class as an alternative to achieving these scores. Any pre-sessional course should be viewed as a way of settling into living and studying in the UK and not as a way of topping up an IELTS or TOEFL score.

Other qualifications

To enter this course you will need a good Bachelors degree in a highly quantitative programme such as mathematics, physics or engineering. The required degree classification is usually a UK 2.1 or above or the equivalent from an overseas institution.

Students should have covered areas such as probability and linear algebra on their first degree.

No work experience is required for this programme, but please provide details of any relevant experience that might enhance your profile.

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

Tuition fees and term dates

Tuition fees 2012/13

£21,500 Currency Converter

Term dates 2012/13

Compulsory Induction Period
17 September 2012 - 28 September 2012

Please note that these dates are provisional and are subject to change. Contact the MSc office before making any travel arrangements.

Term I
1 October 2012 - 7 December 2012
Term I exams
14 January 2013 - 25 January 2013

Term II
28 January 2013 - 5 April 2013
Term II exams
29 April 2013 - 10 May 2013

Term III
13 May 2013 - 28 June 2013
Term III Assessments
25 June 2013 - 12 July 2013

Business Research Project submission deadline
2 September 2013

Official Course End Date
30 September 2013

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