MSc in Quantitative Finance

Overview

The MSc in Quantitative Finance develops the specialised skills required to implement theory in areas such as quantitative analysis, financial research, quantitative asset management, derivatives structuring, financial programming and risk management.

As such, it will equip you with a rigorous understanding of the theory behind Asset Pricing, and Fixed Income Securities with relevant applications using various computer software including programming languages. The programme focuses very much on forecasting i.e. econometrics, numerical methods and also covers risk management.

The demand for recruits with strong quantitative skills has spread beyond the pure derivatives area, and graduates from the course move into a range of careers in the financial sector. Cass's proximity to the City of London helps graduates to access outstanding career opportunities, especially as Cass has close links with many City institutions. .

Information Sessions

Find out more about the MSc in Quantitative Finance 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 Quantitative Finance 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.

Derivatives

The course will develop an in depth understanding of forwards, futures and swaps and their application in risk management situation. The course covers stock index futures, commodity forward and futures, interest rate derivatives, portfolio insurance, credit derivatives and embedded derivatives for corporate applications.

Foundations of Econometrics

The course aims at introducing students to the technical issues in statistical analysis of financial data such as estimation of time series models, forecasting of financial and economic data, and the modelling of asset prices volatility. The course will be based on standard econometric packages like PC Give.

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.

Econometrics of Financial Markets

This module will cover recent advances in the field of financial econometrics, with particular emphasis on high frequency finance and data types, linear time series models and forecasting, GMM and maximum likelihood estimation methods in finance. Further, students will gain exposure to the most recent literature related to modelling return distributions and volatility, focussing on seasonal and realised volatility dynamics, volatility processes/conditional volatility models, correlation, dynamic correlations and multivariate risks.

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

Some recent projects:

Stock returns and volatility in Chinese stock markets
Nearest neighbour estimators and foreign exchange rate predictions The inflation market of Sweden - an empirical investigation employing the Markov switching model
Sovereign credit default swaps intensity calibration, estimation and application
A comparative study of volatility forecasting models for the Greek stock market index
Modelling and pricing credit index tranches using the normal inverse Gaussian distribution
Fractional Co-integration and Long Memory in index options: Application to High Frequency statistical arbitrage trading strategies
Relationship Between Default Values and Recovery Rates and its Effect on Portfolio Credit Risk
Time Varying correlation between stock and bond returns

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

Although investment and hedge funds remain the biggest users and innovators in quantitative finance, other financial sectors such as commercial banking, insurance and fund management are now keenly interested. Fund managers and hedge funds, for example, make extensive use of quantitative techniques to develop trading strategies, optimise portfolios and assess risk.