University College London

Faculty of Mathematical and Physical Sciences

Financial Mathematics MSc


Wates House

22 Gordon Street

London, England

United Kingdom

Program Information

Degrees Offered:

Financial Mathematics MSc

Format: Campus

Program Description:

There is major interest in the Financial Services Industry to raise the level of mathematics used in banks in applications to pricing, hedging and risk management. This brand new MSc provides students with the skills necessary in mathematics, statistics and computation for a career in this fast developing field. Students will develop a detailed understanding of the applications of mathematics, statistics and computation as applied to problems in finance, and will gain the necessary practical tools for the pricing, hedging and risk management of a diverse range of financial products in several asset classes. The Mathematics Department at UCL is an internationally renowned department which carries out excellent individual and group research applying modelling techniques to problems in financial, industrial, biological and environmental areas. The department hosts a stream of distinguished international visitors. In recent years four staff members have been elected fellows of the Royal Society, and the department publishes the highly regarded research journal 'Mathematika'. A notable aspect of this applied Masters programme is that students will be educated to a high level in statistics and computing. DEGREE STRUCTURE Students undertake modules to the value of 180 credits. The programme consists of four core modules (60 credits) four optional modules (60 credits) and a research dissertation (60 credits). Core Modules: Quantitative and Computational Finance Stochastic Methods in Finance Financial Data and Statistics Interest Rate and Credit Modelling Options: Numerical Analysis for Finance Market Risk, Measures and Portfolio Theory The Mathematics and Statistics of Algorithmic Trading Applied Computational Finance in C++/Mathematica Advanced Stochastic Analysis and Models Equity, FX and Commodities Modelling Statistical Inference Dissertation/report All MSc students undertake an independent research project, which culminates in a research report of approximately 10,000 words and a project presentation. Teaching and Learning The programme is delivered through a combination of lectures, practical classes, tutorials and problem-solving exercises. Assessment is through written papers, coursework, examinations and the research report and presentation.


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