About the course
Mathematical finance is an area of applied mathematics where concepts and techniques that lie close to the heart of pure mathematics are applied routinely to solve a great variety of important practical problems arising in the day-to-day business of the world's financial institutions.
The objective of the Brunel MSc in Financial Mathematics is to guide students through to a mastery of the sophisticated mathematical ideas underlying modern finance theory, along with the associated market structures and conventions, with emphasis on:
- The modelling of the dynamics of financial assets, both in equity markets and in fixed-income markets
- The pricing and hedging of options and other derivatives, and
- The quantification and management of financial risk.
Candidates are also provided with the means to master the numerical and computational skills necessary for the practical implementation of financial models, thus enabling you to put theory into practice and putting you in a good position to carry out work for a financial institution. We therefore offer a programme that provides a balanced mixture of advanced mathematics (including modern probability theory and stochastic calculus), modern finance theory (including models for derivatives, interest rates, foreign exchange, equities, commodities, and credit), and computational technique (GPU-based high-performance computing).
The MSc in Financial Mathematics offers a range of exciting modules during the Autumn and the Spring terms, followed by an individual research project leading to a dissertation that is completed during the Summer term.
Aims
Financial mathematics is a challenging subject, the methods of which are deployed by sophisticated practitioners in financial markets on a daily basis. It builds on the application of advanced concepts in modern probability theory to enable market professionals to tackle and systematically resolve a huge range of issues in the areas of pricing, hedging, risk management, and market regulation. The main objective of the Brunel MSc in Financial Mathematics is to provide candidates with the knowledge they need to be able to enter into this exciting new area of applied mathematics and to position themselves for the opportunity to work in financial markets.
Among the main distinguishing features of our programme are the following:
We aim to teach the key ideas in financial asset pricing theory from a thoroughly modern perspective, using concepts and methods such as pricing kernels, market information filtrations, and martingale techniques, as opposed say to the more traditional but old-fashioned approach based on the historical development of the subject.
In our programme candidates are asked at each stage to undertake a critical re-examination of the hypotheses implicit in any financial model, with a view to gaining a clear grasp of both its strengths and its limitations.
The programme includes courses on high-performance computing that provide candidates with the techniques whereby financial models can be implemented.
Course Content
Programme structure
The programme offers five "compulsory" modules, taken by all candidates, along with a variety of elective modules from which students can pick and choose. There are lectures, examinations and coursework in eight modules altogether, including the five compulsory modules. Additionally, all students complete an individual research project on a selected topic in financial mathematics, leading to the submission of a dissertation.
Compulsory modules:
Probability and stochastics
Financial markets
Option pricing theory
Interest rate theory
Financial computing I
Elective Modules:
Portfolio theory
Information in finance with application to credit risk management
Mathematical theory of dynamic asset pricing
Financial computing II
Statistics for Finance
Financial Mathematics Dissertation
Special Features
The Department of Mathematics, home to its acclaimed research centre CARISMA, has a long tradition of research and software development, in collaboration with various industry partners, in the general area of risk management.
The Department is a member of the London Graduate School in Mathematical Finance, which is a consortium of mathematical finance groups of Birkbeck College, Brunel University London, Imperial College London, King’s College London, London School of Economics, and University College London. There is a strong interaction between the financial mathematics groups of these institutions in the greater London area, from which graduates can benefit. In particular there are a number of research seminars that take place regularly throughout the year which students are welcome to attend.
Assessment
Assessment is by a combination of coursework, examination, and dissertation. Examinations are held in May. The MSc degree is awarded if the student reaches the necessary overall standard on the taught part of the course and submits a dissertation that is judged to be of the required standard. Specifically, to qualify for the MSc degree, the student must: (a) take examinations in eight modules including the four compulsory modules, (b) attain the minimum grade profile (or better) required for a Masters degree and (c) submit a dissertation of the required standard. If a student does not achieve the requirements for the degree of MSc, they may, if eligible, be awarded a Postgraduate Diploma.
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