MSc in Mathematical Trading & Finance

Overview

The MSc in Mathematical Trading & Finance prepares you for the sophisticated new investment opportunities, risks and instruments created by financial innovation and globalisation. It can be undertaken as a one-year full-time or two-year part-time programme.

The programme combines mathematical theory with practical applications, teaching you how to control risks and understand the complex structure of derivative securities. Students should be at ease with sophisticated mathematical methods and statistical techniques.

By the end of the course you will be ready to participate in derivatives markets, and many graduates have progressed directly to trading floor positions in leading banks. Cass's proximity to the City of London has done much to facilitate this progression, Cass's Bloomberg and Thomson Reuters trading rooms, which expertly simulate the trading environment, also do much to prepare you for the real world.

The Masters in Mathematical Trading and Finance was launched with the generous support of the Corporation of London.

The content of the two-year (part-time) course is identical to the full-time course, enabling those who work in relevant areas to build on their skills and update their knowledge.

'I chose the Masters course as I wanted to understand the structured and quantitative aspects of dealing in investment banking products and realign my career towards derivative structured products, maybe in sales or trading. In the UK Cass appeared to be the only School which offered a good mix between the academic application and the practical approach towards the subject. This year I have looked at structured products and also made use of the Bloomberg and Thomson Reuters trading rooms.'
Puneet Gupta, MSc in Mathematical Trading and Finance, former Project Manager at Barclays bank in Dubai

Information Sessions

Find out more about the MSc in Mathematical Trading & Finance at one of our regular Information Sessions:

On campus session: 16 May 2012 at 12.30
On campus session (part time focus): 19 June 2012 at 18.30

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 both theory and practice. Consequently, there may be some change 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

I particularly liked how the course was structured: there wasn't a single subject that could be considered as less than completely necessary to apply within the workplace. It has the right selection of subjects that make it a full-fledged and intensive programme.'
Renata Zinkovskaya, MSc in Mathematical Trading & Finance

The MSc in Mathematical Trading & Finance starts with two compulsory induction weeks, mainly dedicated to:

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 refresher course of advanced financial mathematics, statistics, computing and electronic databases

Term 1

Four core modules (30 hours each)

Derivatives 1 - (Part-time Year 1)

This core module provides a solid foundation in the study of forwards, futures and swaps. It takes a practical, hands-on approach in which dealing room sessions enable students to familiarise themselves with market practice.

Mathematical Finance and Stochastic Calculus - (Part-time Year 1)

This core module provides a thorough and rigorous treatment of the modern mathematical tools used in modelling and valuation of financial derivative products. The module presents the development of the central theoretical arguments and the specialised quantitative methods in a unified way. It also covers the modelling of uncertainty and information revelation in discrete and continuous-time pricing models using stochastic processes and the analytical derivation of the Black and Scholes/Harrison and Kreps continuous-time contingent claims pricing framework.

Advanced Financial Econometrics - (Part-time Year 2)

This core module provides an extended presentation of the econometric techniques that have been developed in the past decade to model the main characteristics of financial time series. The theory is complemented with an empirical investigation of the term structure of interest rates and bond markets, the foreign exchange market and equity markets.

Quantitative Asset Pricing - (Part-time Year 2)

This core module provides a thorough understanding of recent advances in cash securities valuation and management. It presents a unified approach to portfolio and risk theory, and aids the theoretical foundation of investment and risk management strategies.

Term 2

Four core modules (30 hours each)

Derivatives 2 - (Part-time Year 1)

This core module provides a rigorous foundation in the pricing of equity derivatives beyond the standard Black and Scholes framework. American and Bermudan-type of early exercise is analysed, cash flows in the form of dividends are incorporated, stochastic interest rates, volatility and jump diffusion models are thoroughly examined, volatility smiles and surfaces are introduced in the valuation process. Exotic equity options like Barrier, Compound, Chooser, Asian, and Lookback are both priced and hedged.

Numerical Methods in VBA - (Part-time Year 1)

This core module covers the computational aspects of complex valuation problems analysed in the mathematical finance and derivatives modules. It provides advanced modelling in Finance using Excel and VBA and places particular emphasis on the following applications: Binomial and Trinomial Trees; Monte Carlo simulation; finite difference methods; methods of free boundaries; implied volatility trees; and lattice methodologies for exotic options.

Risk Analysis and Modelling - (Part-time Year 2)

This core module examines the various types of financial risk such as market risk, credit risk, liquidity risk, model risk, volatility risk and kurtosis risk. Covers risk measurement techniques for different types of portfolios (equity, fixed income and currency) such as duration, portfolio beta, factor sensitivities, value-at-risk, dynamic portfolio distribution analysis, and extreme value analysis. Examines popular credit risk models such as CreditMetrics, CreditRisk+, CreditPortfolio View.

Structured Equity and Energy Derivatives - (Part-time Year 2)

The first part of this core module advances an engineering approach to the design of equity products that allows students to create their own derivatives solutions to an endless variety of problems. Structured equity notes and equity-linked securities are increasingly used for the management of exposure to a large variety of risks, the enhancement of yields or the reduction of funding costs, the exploitation of the tax, accounting and regulatory environment. The second part deals with modelling energy prices (oil, gas, electricity), the construction of energy forward curves and the valuation of exotic energy derivatives.

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:

Advanced Financial Engineering and Credit Derivatives
Fixed Income Arbitrage and Trading
Advanced Options Trading
Trading and Hedging in the Foreign Exchange Market
Advanced Financial Modelling and Forecasting
Technical Analysis and Trading Systems.
Mergers, Acquisitions and Divestments
Finance in Emerging Markets
Behavioural Finance
Market Microstructure and High Frequency Econometrics
Matlab
Private Equity Investment

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. Cass Careers Service works to coordinate projects with organisations and students.

Some recent projects:

Jump Processes in Interest Rate Modelling
Doubly Stochastic Poisson processes
Pricing and Hedging barrier Options
Numerical solutions of jump diffusion labour market models
Stochastic Volatility Vs Implied Volatility by power series technique
An empirical comparison of Credit default Swap pricing models
A framework for the Valuation of Basket Credit Derivatives
Neutral Networks in the prediction of financial times series: mis-pricing between assets
Are Hedge Funds really "Alternative Investments" - An Empirical Assessment
Valuing and Hedging double barrier options
Valuation Methods For Convertible Bonds
Hedging Pricing and Compound Options
UK Venture Capital Fund Performance, a cash flow based analysis
Pricing and Hedging double Barrier options
Universal Volatility Models Pricing and Risk Management of Vanilla Exotic FX Options
Characteristics of CO2 Emission Allowances and the suitability of existing derivative pricing models for the nascent EUA options market

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 be accepted on to this course you will need a good Bachelors degree in a highly quantitative subject. 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 micro and macroeconomics within their first degree.

Applicants will need to submit two references, one of which MUST be an academic reference. No work experience is required for this programme, but please provide details of any relevant experience that might enhance your profile.

Cass Business School operates on a rolling admissions basis. This means that candidates apply for and are admitted all year round to our programmes. Most of our applications are received early in the academic year. To maximise your chances of receiving a positive response, we strongly suggest you apply as early as possible. We aim to return a decision within 4 -6 weeks of receiving your application.

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

There is a continuous demand for capable postgraduate level executives in the world of finance.

Graduates from the MSc in Mathematical Trading & Finance move into a range of careers in the financial sector in particular careers in trading are popular with our alumni.