Mathematical Trading and Finance

Mathematical Trading and Finance

1. 2016 Entry
2. 2017 Entry

• Overview
• Course content
• Teaching staff
• Accreditations
• Entry requirements
• Tuition fees and term dates
• Career opportunities

Overview

Intake: September only
Duration: 12 months full-time
Fees: £23,000 (full-time)
Financial support: Please see our Scholarships page
Application deadline: None - rolling admissions
Applications: Now open

The MSc in Mathematical Trading & Finance prepares you for the sophisticated new investment opportunities, risks and instruments created by financial innovation and globalisation.

The programme combines mathematical theory with practical applications, teaching you how to control risks and understand the complex structure of derivative securities. Students should be at ease with sophisticated mathematical methods and statistical techniques.

By the end of the course you will be ready to participate in derivatives markets, and many graduates have progressed directly to trading floor positions in leading banks. Cass's proximity to the City of London has done much to facilitate this progression, Cass's Bloomberg and Thomson Reuters trading rooms, which expertly simulate the trading environment, also do much to prepare you for the real world.

The Masters in Mathematical Trading and Finance was launched with the generous support of the Corporation of London.

My Masters gave me a very good set of skills that helped me find my way at work.
Renata Zinkovskaya, MSc in Mathematical Trading & Finance

Renata describes more of her experiences at Cass

Individual Appointments

If you would like to arrange an individual appointment to discuss this programme please email Donna Coombs.

Apply now >

Course content

We review all our courses regularly to keep them up-to-date on issues of both theory and practice. Consequently, there may be some change to the detailed content of the modules and occasionally to module titles.

To satisfy the requirements of the degree programme students must complete:

• nine core courses

and

• five electives

or

• one elective and a Business Research Project

I particularly liked how the course was structured: there wasn't a single subject that could be considered as less than completely necessary to apply within the workplace. It has the right selection of subjects that make it a full-fledged and intensive programme.'
Renata Zinkovskaya, MSc in Mathematical Trading & Finance

The MSc in Mathematical Trading & Finance starts with two compulsory induction weeks, mainly dedicated to:

• an introduction to careers in finance and the opportunity to speak to representatives from over 75 companies during a number of different industry specific fairs.
• a refresher course of advanced financial mathematics, statistics, computing and electronic databases

Term 1

Four core modules

Derivatives 1 - (Part-time Year 1)

This core module provides a solid foundation in the study of forwards, futures and swaps. It takes a practical, hands-on approach in which dealing room sessions enable students to familiarise themselves with market practice.

Mathematical Finance and Stochastic Calculus - (Part-time Year 1)

This core module provides a thorough and rigorous treatment of the modern mathematical tools used in modelling and valuation of financial derivative products. The module presents the development of the central theoretical arguments and the specialised quantitative methods in a unified way. It also covers the modelling of uncertainty and information revelation in discrete and continuous-time pricing models using stochastic processes and the analytical derivation of the Black and Scholes/Harrison and Kreps continuous-time contingent claims pricing framework.

Advanced Financial Econometrics - (Part-time Year 2)

This core module provides an extended presentation of the econometric techniques that have been developed in the past decade to model the main characteristics of financial time series. The theory is complemented with an empirical investigation of the term structure of interest rates and bond markets, the foreign exchange market and equity markets.

Quantitative Asset Pricing - (Part-time Year 2)

This core module provides a thorough understanding of recent advances in cash securities valuation and management. It presents a unified approach to portfolio and risk theory, and aids the theoretical foundation of investment and risk management strategies.

In addition all students will study the Research Methods for Quantitative Professionals module

Term 2

Four core modules

Derivatives 2 - (Part-time Year 1)

This core module provides a rigorous foundation in the pricing of equity derivatives beyond the standard Black and Scholes framework. American and Bermudan-type of early exercise is analysed, cash flows in the form of dividends are incorporated, stochastic interest rates, volatility and jump diffusion models are thoroughly examined, volatility smiles and surfaces are introduced in the valuation process. Exotic equity options like Barrier, Compound, Chooser, Asian, and Lookback are both priced and hedged.

Numerical Methods in VBA - (Part-time Year 1)

This core module covers the computational aspects of complex valuation problems analysed in the mathematical finance and derivatives modules. It provides advanced modelling in Finance using Excel and VBA and places particular emphasis on the following applications: Binomial and Trinomial Trees; Monte Carlo simulation; finite difference methods; methods of free boundaries; implied volatility trees; and lattice methodologies for exotic options.

Risk Analysis and Modelling - (Part-time Year 2)

This core module examines the various types of financial risk such as market risk, credit risk, liquidity risk, model risk, volatility risk and kurtosis risk. Covers risk measurement techniques for different types of portfolios (equity, fixed income and currency) such as duration, portfolio beta, factor sensitivities, value-at-risk, dynamic portfolio distribution analysis, and extreme value analysis. Examines popular credit risk models such as CreditMetrics, CreditRisk+, CreditPortfolio View.

Structured Equity and Energy Derivatives - (Part-time Year 2)

The first part of this core module advances an engineering approach to the design of equity products that allows students to create their own derivatives solutions to an endless variety of problems. Structured equity notes and equity-linked securities are increasingly used for the management of exposure to a large variety of risks, the enhancement of yields or the reduction of funding costs, the exploitation of the tax, accounting and regulatory environment. The second part deals with modelling energy prices (oil, gas, electricity), the construction of energy forward curves and the valuation of exotic energy derivatives.

Term 3

Five electives*

OR

One elective and a Business Research Project

Electives

You may choose from a wide variety of electives. Electives that were offered in 2015 were:

• Hedge Funds
• Commodity Derivatives & Trading
• Behavioural Finance
• An introduction to Islamic Banking, Finance and Insurance
• Trading & Market Microstructure
• Ethics, Society and the Finance Sector
• Mergers and Acquisitions
• Energy Markets
• Corporate Governance
• Advanced Company valuation
• Pension Finance
• Private Equity Investment
• Technical Analysis and Trading Systems
• Advanced Financial Engineering and Credit Derivatives
• Advanced Financial Modelling and Forecasting
• Advanced Options Trading
• Fixed Income Arbitrage and Trading
• Trading and Hedging in the Forex Market
• Real Estate Fund and Portfolio Management
• Introduction to C
• Matlab

Internatonal Electives

• Project Finance & Infrastructure (Taught in a block format in Madrid)
• Global Real Estate Markets (Taught in a block format in Dubai)

*If you are a Tier 4 student visa holder and wish to follow the five electives route in the third term your formal course end-date will be moved forward to 31 July 2015. City University has a legal obligation to report the change in your circumstances to UKVI (UK Visas and Immigration). Consequently, your Tier 4 student visa will be curtailed (shortened) to 60 days after the new course end date (to the end of September). The University cannot continue to sponsor your Tier 4 visa after the completion of the electives as continued engagement with the course is no longer required.

If you choose to undertake the Business Research Project as part of your Masters course then your visa will run for the full the length of programme.

If you want any advice about the implications of taking the elective modules on your Tier 4 visa, please contact the University's International Student Advice team.

MSc Research Project

Students have the option of studying five specialised electives in term three to give them a breadth of subject matter. Alternatively if students would like to study one particular area of interest in depth they have the option of taking one elective and completing a Business Research Project, which in some cases may be completed in partnership with a sponsoring organisation.

The Project will be of approximately 8,000 words. This offers an opportunity to specialise in a contemporary finance topic related to students' future careers. The Project should be based on independent research either in the context of a single organisation or using third-party sources.

Students are encouraged from the start of the course to think about a topic for their Project. A member of academic staff supervises the project, and the student may choose whom they would like to work with. The Project must be submitted by the end of August. Company sponsored projects are encouraged and a number of such projects may be available.

Many students use this opportunity to complete a project in conjunction with an organisation they might want to work for. This gets their foot in the door and can lead to permanent employment post programme, whilst earning course credit. Cass Careers Service works to coordinate projects with organisations and students.

Some recent projects:

• Jump Processes in Interest Rate Modelling
• Doubly Stochastic Poisson processes
• Pricing and Hedging barrier Options
• Numerical solutions of jump diffusion labour market models
• Stochastic Volatility Vs Implied Volatility by power series technique
• An empirical comparison of Credit default Swap pricing models
• A framework for the Valuation of Basket Credit Derivatives
• Neutral Networks in the prediction of financial times series: mis-pricing between assets
• Are Hedge Funds really "Alternative Investments" - An Empirical Assessment
• Valuing and Hedging double barrier options
• Valuation Methods For Convertible Bonds
• Hedging Pricing and Compound Options
• UK Venture Capital Fund Performance, a cash flow based analysis
• Pricing and Hedging double Barrier options
• Universal Volatility Models Pricing and Risk Management of Vanilla Exotic FX Options
• Characteristics of CO2 Emission Allowances and the suitability of existing derivative pricing models for the nascent EUA options market

Teaching staff

The teaching staff on the MSc in Mathematical Trading & have many years of practical experience working in the financial services sector and are also active researchers in their fields

This knowledge and experience inform the highly interactive lectures that make up the MSc in Mathematical Trading & Finance.

Course Director

Prof. John Hatgioannides

Other Module Leaders include:

• Prof. Giovanni Urga
• Dr Ioannis Kyriakou
• Dr Laura Balotta
• Dr Dirk Nitzsche
• Dr Gianluca Fusai
• Prof. Nikos Nomikos

Teaching staff on Cass Talks

Some of the lecturing staff on the MSc in Mathematical Trading & Finance have taken part in recent editions of Cass Talks.

Dr Dirk Nitzsche discusses the mutual fund industry and explains that success is often merely a matter of luck.

Accreditations

Cass Business School is among the global elite of business schools that hold the gold standard of 'triple-crown' accreditation from the Association to Advance Collegiate Schools of Business (AACSB), the Association of MBAs (AMBA) and the European Quality Improvement System (EQUIS). We are consistently ranked amongst the best business schools and programmes in the world which, coupled with an established 40-year reputation for excellence in research and business education, enables us to attract some of the best academics, students and businesses worldwide into our exclusive Cass network.

Entry requirements

Documents required for decision-making

• Transcript/interim transcript
• Current module list if still studying
• CV
• Personal statement (500-600 words)

Documents which may follow at a later date

• IELTS result, if report available
• Confirmation of professional qualification examinations/exemptions/passes, if applicable
• Two references
• Work experience is not a requirement of this course
• For a successful application to receive an unconditional status all documents must be verified, so an original or certified copy of the degree transcript must be sent by post to Specialist Masters Programme Office, 106 Bunhill Row, London, EC1Y 8TZ, UK

We cannot comment on individual eligibility before you apply and we can only process your application once it is fully complete, with all requested information received.

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The entry requirements for the MSc Mathematical Trading & Finance are as follows:

Degree Level

• A UK 2.1 or above, or the equivalent from an overseas institution
• Previous degree must be in a highly quantitative subject such as mathematics, physics or engineering
• Students from alternative academic backgrounds should have covered areas such as linear algebra, calculus, probability and regression analysis within their first degree

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Course Syllabus

You may be requested to provide a syllabus of specific modules undertaken during your studies as part of the assessment process. This is not required at the point of submitting an application and will be requested directly by the admissions team only if required as part of the assessment.

References

Applicants will need to submit two references, one of which MUST be an academic reference.

We are happy to accept two professional references from applicants for the Part Time programme. Candidates are only requested to submit an academic reference if they have graduated in the past five years.

English Requirements

• If you have been studying in the UK for the last three years it is unlikely that you will have to take the test
• If you have studied a 2+2 degree with just two years in the UK you will be required to provide IELTS results and possibly to resit the tests to meet our requirements.

IELTS

The required IELTS level is an average of 7.0 with a minimum of 6.5 in the writing section and no less than 6.0 in any other section.

Read more

Please note that due to changes in the UKVI's list of SELTs we are no longer able to accept TOEFL as evidence of English language for students who require a CAS as of April 2014.

Work Experience

Work experience is not a requirement, but please provide details of relevant experience that might enhance your profile. This information will be included in your CV which is required with all applications.

The part time MSc programme is designed for working professionals and students are expected to be in full time employment during the course of the programme. A minimum of two years of work experience is necessary in order to contribute fully to discussions in the classroom. Candidates with less than two years should speak directly with an admissions officer before applying.

Tuition fees and term dates

Tuition fees 2016/7

Application fee: Nil

Tuition fees: £23,000 Currency Converter

Deposit: £2,000 (paid within 1 month of receiving offer and non-refundable unless conditions of offer are not met)

First instalment: Half fees less deposit (to be paid at registration)
Second instalment: Half fees (paid in January following start of programme)

Term dates 2016/7

In-Person Registration (all students must attend): Commences 12 September 2016

Compulsory Induction: 12 - 23 September 2016

Term I
26 September 2016 - 2 December 2016
Term I exams
9 January 2017 - 20 January 2017

Term II
23 January 2017 - 31st March 2017
Term II exams
24 April 2017 - 5 May 2017

Term III
8 May 2017 - 23 June 2017
Term III exams
26 June 2017 - 7 July 2017

Submission deadline for Business Research Project
1 September 2017

Official Course End Date
30 September 2017

Career opportunities

There is a continuous demand for capable postgraduate level executives in the world of finance.

Graduates from the MSc in Mathematical Trading & Finance move into a range of careers in the financial sector in particular careers in trading are...