Financial Mathematics MSc

• Asset Pricing

  This module focuses on the introduction of pricing financial securities, which forms the basis for understanding asset pricing behaviour and the cornerstone of many asset pricing models. The focus is on spot securities, mainly equities and debt instruments.

  The module also introduces students to the fundamental theory used by practitioners and academics in the wider field of finance, in particular asset management. That includes portfolio theory, the CAPM, factor models and measuring risk and return.

  Those concepts are widely used by financial market participants. At the end of this module the various building blocks are being put together in the discussion of performance and persistence of performance of mutual funds.

  Module Leader in 2023-24: Dr Dirk Nitzsche

• Derivatives

  This module introduces to derivatives instruments and derivatives markets in the context of financial risk management. Focus is specifically given to the identification of the risks inherent in derivative securities.

  On completion of this module, students will be able to undertake quantitative applications of concepts in a practical setting and understand the contribution of derivative securities to a sensible risk management practice.

  Module Leader in 2023-24: Prof. Keith Cuthbertson

• Foundations of Econometrics

  The course provides the essential statistical and econometric techniques needed to conduct quantitative research in finance and economics.

  This combination of econometric theory and application will enable students to understand and interpret empirical findings in a range of financial markets, including reading of empirical academic literature and critical assessment econometric applications undertaken by industry practitioners.

  Module Leader in 2023-24: Prof. Giovanni Urga

• Stochastic Modelling Methods in Finance

  The module provides the necessary mathematical tools on which the entire programme is based. Specifically, the module offers a rigorous introduction to Brownian motions and stochastic calculus.

  Furthermore, the module focuses on the construction of the mathematical framework on which Mathematical Finance is based, starting from the no-arbitrage principle, all the way to its mathematical formulation using martingales and martingale measures.

  These concepts will then be applied in Finance for pricing and hedging books of derivative contracts.

  Module Leader in 2023-24: Prof. Laura Ballotta

• Fixed Income

  The module provides a thorough introduction to the market of fixed income securities, such as bonds, swaps and interest rate options.

  Furthermore, the module covers the main modelling streams in fixed income securities. It also offers insights in the most recent issues that affected the fixed income market, such as multicurve rates, negative rates and counterparty credit risk.

  Module Leader in 2023-24: Prof. Gianluca Fusai

• Risk Analysis

  Financial debacles are a constant reminder of the relationship between financial risk and reward. The quantitative approach to this relationship is ever more dominant in the market and subject to constant innovation.

  As market participants need to keep abreast of new developments, the Risk Analysis module provides a good path of study in this field.

  The aim of this module is to help you develop a solid background for evaluating, managing and researching financial risk. To this end you will learn to analyse and quantify risk according to current best practice in the markets.

  Module Leader in 2023-24: Prof. Gianluca Fusai

• Advanced Stochastic Modelling

  The module introduces more recent developments in the field of financial mathematics by looking beyond the standard Black-Scholes model. Thus, the module covers the modelling and pricing of special exotic contracts such as Asian options, which are popular in commodity markets, for example.

  Furthermore, the module provides insights into non-Gaussian models for the log-returns, and the relevant pricing and hedging techniques, such as static hedging and mean-variance hedging.

  Module Leader in 2023-24: Prof. Ales Cerny

• Simulations Techniques and Financial Modelling

  This module focuses on applications of numerical methods and programming languages to finance.

  Students will learn how to generate scenarios using popular financial models, like the Heston model, the SABRs model, the Variance Gamma model and more. Students will also gain a sound knowledge of Fourier-based methods, simulation methods such as Monte Carlo and empirical bootstrap, in addition to covering a primer in Artificial Neural Networks.

  Focus is placed on applications in option pricing, risk management and portfolio performance evaluation. These applications are developed in Python and Matlab.

  Module Leader in 2023-24: Prof. Laura Ballotta

You will be able to tailor your degree in the third term by choosing electives to complete your education.

You may choose from the following options in your final term.

• Option 1: You can take one compulsory module, four specialist elective modules and Career Management Skills and Research Methods (6 x 10 credits).
• Option 2: You can undertake a 5,000 word General Research Project (30 credits), one compulsory module and two specialist elective modules (3 x 10 credits).

Project and research skills

• General Research Project

  Any business needs key research and professional skills and, to be successful, methodologically sound and rigorous research. This module allows you to demonstrate your ability to integrate and apply concepts and techniques you have learned in an in-depth study of a topic of your choice.

  This module will enable you to demonstrate the results of your learning through the development of a final project. There is no single prescribed method.  For example, you may choose to complete more traditional academic desk research, complete a business plan, or carry out a consultancy project.

• Career Management Skills and Research Methods

  Strong research is a key element of development strategy for companies and institutions large and small.

  This module will provide a grounding in research methods, targeted to your particular degree requirements. You will be able to use these skills to support your learning, substantiate your arguments and make assessments about the nature of the evidence you are using.

  Career and employability skills development will help you develop your aspirations, take a planned and efficient approach to your job search and / or entrepreneurial plans, and help you create a strong base from which to manage your career in the longer term. It will also help you understand how to apply your learning in the wider context of your career.

  Throughout this module you will also be encouraged to reflect on your learning through a sustainable and ethical lens. This will help you understand how to take an ethical approach to your research and taking an ethical, sustainable and forward-looking approach to your career development.

Electives offered in 2024

• Applied Machine Learning
• Applied Natural Language Processing
• Data Management Systems
• Emerging Global Risks
• Ethics, Society and the Finance Sector
• Technical Analysis and Trading Systems
• Trading and Hedging in the Forex Market
• Trading and Market Microstructure
• VBA with Application for Finance.

International electives

• FinTech (taught in Italy)
• Investment Strategy (taught in New York, USA).

*Please note that electives are subject to change and availability.