The course provides you with a strong mathematical background with the skills necessary to apply your expertise to the solution of real finance problems. You will develop skills so that you are able to formulate a well posed problem from a description in financial language, carry out relevant mathematical analysis, develop and implement an appropriate numerical scheme and present and interpret these results.
The course lays the foundation for further research in academia or for a career as a quantitative analyst in a financial or other institution.
You will take three introductory courses in the first week. The introductory courses cover partial differential equations, probability and statistics and MATLAB.
The first term focuses on compulsory core material, offering 80 hours of lectures and 40 hours of classes/practical. The core courses are as follows:
In the second term, three streams are offered; each stream consists of 32 hours of lectures and 16 hours of classes/practical. The Tools stream is mandatory and you will also take either the Modelling stream or the Data-driven stream.
As well as the streams, the course includes a compulsory one-week (24 hours of lectures) intensive module on quantitative risk management which is to be held in/around the week before the third term.
The third term is dedicated to a dissertation project which is to be written on a topic chosen in consultation with your supervisor.
The second component of the financial computing course, Financial Computing with C++ 2 (24 hours of lectures and practicals in total), is held shortly after the third term.
The examination will consist of the following elements:
MSc graduates have been recruited by prominent investment banks and hedge funds. Many past students have also progressed to PhD-level studies at leading universities in Europe and elsewhere.
The course is run jointly by the Mathematical Institute and the Department of Physics. It provides a high-level, internationally competitive training in mathematical and theoretical physics, right up to the level of modern research. It covers the following main areas:
The course concentrates on the main areas of modern mathematical and theoretical physics: elementary-particle theory, including string theory, condensed matter theory (both quantum and soft matter), theoretical astrophysics, plasma physics and the physics of continuous media (including fluid dynamics and related areas usually associated with courses in applied mathematics in the UK system). If you are a physics student with a strong interest in theoretical physics or a mathematics student keen to apply high-level mathematics to physical systems, this is a course for you.
The course offers considerable flexibility and choice; you will be able to choose a path reflecting your intellectual tastes or career choices. This arrangement caters to you if you prefer a broad theoretical education across subject areas or if you have already firmly set your sights on one of the subject areas, although you are encouraged to explore across sub-field boundaries.
You will have to attend at least ten units' worth of courses, with one unit corresponding to a 16-hour lecture course or equivalent. You can opt to offer a dissertation as part of your ten units. Your performance will be assessed by one or several of the following means:
The modes of assessment for a given course are decided by the course lecturer and will be published at the beginning of each academic year. As a general rule, foundational courses will be offered with an invigilated exam while some of the more advanced courses will typically be relying on the other assessment methods mentioned above. In addition, you will be required to give an oral presentation towards the end of the academic year which will cover a more specialised and advanced topic related to one of the subject areas of the course. At least four of the ten units must be assessed by an invigilated exam and, therefore, have to be taken from lecture courses which provide this type of assessment. A further three units must be assessed by invigilated written exam, take-home exam or mini-project. Apart from these restrictions, you are free to choose from the available programme of lecture courses.
The course offers a substantial opportunity for independent study and research in the form of an optional dissertation (worth at least one unit). The dissertation is undertaken under the guidance of a member of staff and will typically involve investigating and write in a particular area of theoretical physics or mathematics, without the requirement (while not excluding the possibility) of obtaining original results.
The part-time MSc in Mathematical Finance aims to develop your mathematical modelling, data analysis and computational skills as applied to finance, without the need to take time out of your career to study.
Incorporating concepts from applied and pure mathematics, statistics, computing and corporate finance, the course gives you a broad intellectual perspective and covers, from fundamentals to the latest research, the most important aspects of quantitative finance currently in use in the finance industry.
It is possible to exit the course early and be awarded the Postgraduate Diploma in Mathematical Finance, should work pressures intervene before it is possible to write a dissertation.
In order to complete the MSc each student must attend and be assessed on four core modules, three advanced modules and to submit a dissertation. Students are expected to take seven terms (28 months) to complete the course.
Modules are taught through a series of lectures, practical sessions, guided reading, guest lectures and course assignments.
The core modules cover the mathematical foundations of probability, statistics and partial differential equations, stochastic calculus and martingale theory, portfolio theory, the Black-Scholes model and extensions, numerical methods (finite differences and Monte Carlo), interest rate modelling, stochastic optimisation, exotic derivatives and stochastic volatility. MATLAB and Python are used as a practical computing languages.
Attendance at the four core modules is compulsory. For each module there is an assignment for which feedback and an indicative mark is given to assist you in improving your future performance. Assessment for these compulsory modules consists of two two-hour written examinations held in September of the first year.
Each of the advanced modules explores a key area in contemporary mathematical finance. The programme of advanced modules is published in July each year, and you will be asked to register your choice of three modules. Attendance at these three assessed modules is compulsory. Advanced modules will be assessed by short ‘special project’ reports, each submitted on a subject chosen by you that is covered in the module.
You will complete a dissertation on a topic chosen in consultation with your supervisor and the Course Director.
This one-year master's course provides training in the application of mathematics to a wide range of problems in science and technology. Emphasis is placed on the formulation of problems, on the analytical and numerical techniques for a solution and the computation of useful results.
By the end of the course students should be able to formulate a well posed problem in mathematical terms from a possibly sketchy verbal description, carry out appropriate mathematical analysis, select or develop an appropriate numerical method, write a computer program which gives sensible answers to the problem, and present and interpret these results for a possible client. Particular emphasis is placed on the need for all these parts in the problem solving process, and on the fact that they frequently interact and cannot be carried out sequentially.
The course consists of both taught courses and a dissertation. To complete the course you must complete 13 units.
There are four core courses which you must complete (one unit each), which each usually consist of 24 lectures, classes and an examination. There is one course on mathematical methods and one on numerical analysis in both Michaelmas term and Hilary term. Each course is assessed by written examination in Week 0 of the following term.
Additionally, you must choose at least least one special topic in the area of modelling and one in computation (one unit each). There are around twenty special topics to choose from, spread over all three academic terms, each usually consisting for 12 to 16 lectures and a mini project, which culminates in a written report of around 20 pages. Topics covered include mathematical biology, fluid mechanics, perturbation methods, numerical solution of differential equations and scientific programming.
You must also undertake at least one case study in modelling and one in scientific computing (one unit each), normally consisting of four weeks of group work, an oral presentation and a report delivered in Hilary term.
There is also a dissertation (four units) of around 50 pages, which does not necessarily need to represent original ideas. Since there is another MSc focussed on mathematical finance specifically, the MSc in Mathematical and Computational Finance, you are not permitted to undertake a dissertation in this field.
You will normally accumulate four units in core courses, three units in special topics, two units in case studies and four units in the dissertation. In addition, you will usually attend classes in mathematical modelling, practical numerical analysis and additional skills during Michaelmas term.
In the first term, students should expect their weekly schedule to consist of around seven hours of core course lectures and seven hours of modelling, practical numerical analysis and additional skills classes, then a further two hours of lectures for each special topic course followed. In addition there are about three hours of problem solving classes to go through core course exercises and students should expect to spend time working through the exercises then submitting them for marking prior to the class. There are slightly fewer contact hours in the second term, but students will spend more time working in groups on the case studies.
In the third term there are some special topic courses, including one week intensive computing courses, but the expectation is that students will spend most of the third term and long vacation working on their dissertations. During this time, students should expect to work hours that are equivalent to full-time working hours, although extra hours may occasionally be needed. Students are expected to write special topic and case study reports during the Christmas and Easter vacations, as well as revising for the core course written examinations.
The MSc in Mathematics and Foundations of Computer Science, run jointly by the Mathematical Institute and the Department of Computer Science, focuses on the interface between pure mathematics and theoretical computer science.
The mathematical side concentrates on areas where computers are used, or which are relevant to computer science, namely algebra, general topology, number theory, combinatorics and logic. Examples from the computing side include computational complexity, concurrency, and quantum computing. Students take a minimum of five options and write a dissertation.
The course is suitable for those who wish to pursue research in pure mathematics (especially algebra, number theory, combinatorics, general topology and their computational aspects), mathematical logic, or theoretical computer science. It is also suitable for students wishing to enter industry with an understanding of the mathematical and logical design and concurrency.
The course will consist of examined lecture courses and a written dissertation. The lecture courses will be divided into two sections:
Each section shall be divided into schedule I (basic) and schedule II (advanced). Students will be required to satisfy the examiners in at least two courses taken from section B and in at least two courses taken from schedule II. The majority of these courses should be given in the first two terms.
During Trinity term and over the summer students should complete a dissertation on an agreed topic. The dissertation must bear regard to course material from section A or section B, and it must demonstrate relevance to some area of science, engineering, industry or commerce.
It is intended that a major feature of this course is that candidates should show a broad knowledge and understanding over a wide range of material. Consequently, each lecture course taken will receive an assessment upon its completion by means of a test based on written work. Students will be required to pass five courses, that include two courses from section B and two at the schedule II level - these need not be distinct - and the dissertation.
The course runs from the beginning of October through to the end of September, including the dissertation.
This new two-year part-time MSc programme has been introduced at a time when high quality educational assessment is recognised as a core element of a strong education system.
The aim of the course is to provide researchers and professionals with the skills to develop and improve educational assessments in their own settings. Students will gain technical and statistical knowledge in assessment and engage with the design and evaluation of educational assessments, as well as come away with a sound understanding of the field, including high stakes assessment systems.
The course combines teaching sessions within the Department and online support through the University’s Virtual Learning Environment (WebLearn). In the second year of the course students will receive supervision of dissertation projects from a University supervisor with expertise in a particular subject.
Assessment will be through an assignment for each unit, plus a dissertation in the final term of the second year. Areas covered in the assessments include: assessment issues and practice, assessment design and statistical evaluation of assessment data; assessment analysis; teacher assessment; international large-scale assessments; advanced analysis techniques.
On completion of the course, graduates will have a sound understanding of the design of assessment systems, the options available and their implications. They will be able to analyse the quality of assessments and engage in research, policy and practice questions in an informed and critical manner.
This Masters qualification will have an impact upon the quality of educational assessments in a wide range of settings by enhancing assessment skills and increasing opportunities for progression to senior positions in educational assessment organisations both nationally and internationally.