Mathematical Trading and Finance 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 requirements used in fixed income securities. It also offers insights in current issues of fixed income market, such as multicurve 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

• Quantitative Trading

  This trading focused module introduces students to the world of computer-based trading and dealing with high frequency data.

  Some relevant market microstructure concepts, such as bid-ask spreads, liquidity and other concepts are being introduced before the focus moves to high frequency trading strategies and other automated trading concepts.

  Module Leader in 2023-24: Dr Bernd Hanke

• Machine Learning

  This module provides on overview of machine learning concepts, techniques and algorithms used in practice to describe and analyse complex data and design predictive analytics methods. You should expect to engage with the main idea and intuition behind modern machine learning tools from a practical perspective.

  Standard computing skills in R, Python and Matlab will be used to put in practice the theory discussed during the lectures.

  Module Leader in 2023-24: Dr Rui Zhu

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: Electives

You can complete your studies by taking 4 x 10 credit specialist elective modules Plus SMM277 Programming for Quants, and BBM109 Career Management Skills and Research Methods

Option 2: General Research Project

A ‘Research Project’ with a credit value of 30 and a maximum of 5000 words, plus SMM277 Programming for Quants and two specialist electives.

• General Research Project

  This module will help you integrate your learning across a range of skills and in particular to enable you to demonstrate the results of your learning through the development of a final project. You may choose to complete more traditional academic desk research, complete a business plan or carry out a consultancy project and any reasonable proposal is acceptable providing that it is agreed with the project supervisor and the course director

• Career Management Skills and Research Methods

  Supporting your wider learning and career success through the development of key transferable skills and attributes that you will use both in your programme and across your career. In particular: research and analysis, career planning and employability skills development, and sustainable working.

  Develop 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, delivered in a highly targeted and applied format throughout the year, 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. The content of this module will also help you understand how to apply your learning in the wider context of your career.

Electives offered in 2024

• Applied Machine Learning
• Emerging Global Risks
• Ethics, Society and the Finance Sector
• Hedge Funds
• Investment Strategy
• Technical Analysis and Trading Systems
• Trading and Hedging in the Forex Market
• VBA with Application for Finance.

International electives:

• FinTech (taught in Italy).

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