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Quantitative Finance and Mathematics

Course Description

This exciting new programme introduces modern mathematical techniques and financial modelling, such as portfolios options and derivative pricing, for students with a mathematical background. In particular it will introduce the probability and stochastics often not included in standard mathematics degrees.

Following the Financial Crisis of 2007-2009 there has been a shift in the practice of mathematical finance. The emphasis is now on possessing a broad range of skills that can be applied to practical problems. The aim is to understand, both quantitatively and qualitatively, risks and uncertainty involved.

The MSc focuses on practical computational and applied mathematics aspects of finance and uncertainty, and students graduating from the programme will have excellent employment prospects that are not restricted to any one narrow sector of financial services.

We have a practical applied approach to the material. This will provide you with relevant and modern skills, in demand in the UK and internationally, relating to structured finance.

Students will take a total of 8 courses, 4 in each of the 1st and 2nd Semesters followed by a 3-month Project in the summer. A typical distribution for this programme is as follows:

Core Courses

Modelling and Tools;
Derivative Markets, Pricing and Financial Modelling;
Statistical Methods (recommended);
Stochastic Simulation;
Modern Portfolio Theory.

Optional Courses

Enterprise Risk Management;
Data mining and Machine Learning;
Financial Markets;
Software Engineering Foundations;
Bayesian Inference and Computational Methods;
Financial Engineering;
Numerical Analysis (PDEs);
Advanced Derivative Pricing;
Numerical Techniques for PDE's with either Time Series or Financial Econometrics;
Advanced Software Engineering.

Progression to the MSc project phase is dependent on assessed performance.

Typical project topics may include

Applications of multilevel Monte-Carlo sampling in finance;
An investigation of new numerical methods for stochastic interest rate models;
Space time adaptivity for Fokker—Planck equations.

Visit the Quantitative Finance and Mathematics page on the Heriot-Watt University website for more details!

Student Profiles

MACS Postgraduate Scholarships - No. of awards TBC

Colin Maclaurin Scholarship – some scholarships of £3,500 will be awarded to outstanding applicants to our MSc in Actuarial Science and MSc in Actuarial Management. Jacob Bernoulli Scholarship – 4 scholarships of either a 10% or 15% discount on the tuition fee cost will be awarded to outstanding applicants to our MSc in Quantitative Financial Risk Management. Thomas Gresham Scholarship – significant scholarships will be awarded to outstanding applicants to our MSc in Quantitative Financial Engineering. There is no need to apply – these will be awarded on the basis of outstanding academic merit. Mathematics Scholarship – 3 scholarships of £3,000 will be awarded to outstanding overseas applicants to any of our Mathematics MSc programmes. 1 scholarship of £1,000 will be awarded to an outstanding Home/EU applicant to any of our Mathematics MSc programmes.

Value of Scholarship(s)



Home, EU and Overseas applicants are all eligible to apply for any of the following scholarships. These will be awarded based on outstanding academic merit and financial circumstance.

Application Procedure

Please apply using our online scholarship application form and include information about your academic achievements, motivation for study and financial circumstance. Applications must be submitted before 31st March 2014 and supported by an academic reference - this should be sent directly from the referee by email to [email protected]

Further Information



Postgraduate Taught Funded Places - 10 Awards

The School of Mathematical and Computer Sciences have funding for a number of postgraduate scholarships for the academic year 2015-16 for students who are permanently domiciled in Scotland. The scholarships will cover the full tuition fee cost for studying in 2015/16 and are available for specific programmes which have been selected to support the skills demands in Scotland's key economic growth areas.

Value of Scholarship(s)



According to the terms of the Scottish Funding Council (SFC), you are eligible to apply for a place if you have been living in Scotland for a continuous period of 3 years prior to 1 August 2015. Please note that this does not include residency for the purposes of study only.

Application Procedure

You should apply for the relevant MSc/PG Diploma programme online. Please state your interest for a Postgraduate Taught Funded Place in the 'Additional Information' section of the form. Please also complete and submit a Postgraduate Taught Funded Place application form. This additional form can be completed electronically or printed but must be submitted to us via email or post no later than 1st June, 2015. If you have already applied for your MSc/PG Diploma programmes then please quote your application reference number on your Funded Place application form. Following the deadline, funded places will be awarded to those applicants where we consider the funding will make a difference to them being able to study at postgraduate level. If there are any unfilled places after this first deadline we may re-advertise for additional applications by a new deadline.If you have any queries, please email [email protected]

Further Information


Entry Requirements

Entry requires a UK 2.1 degree or equivalent in Mathematics, Statistics, or a related subject with a substantial mathematics content from a British or overseas university.We are looking to train those who not only have a strong background in mathematics, but who also possess the ability to communicate effectively, and have the desire to succeed in a dynamic and competitive industry.The programme is not suitable for finance professionals without graduate-level mathematical training.

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Recipient: Heriot-Watt University

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