Mathematics and Finance

Modules shown are for the current academic year, and are subject to change depending on your year of entry.

This course may be taken full- or part-time. It introduces you to the more mathematical areas of asset pricing theory and financial risk management.

You will take eight compulsory lecture modules and two optional modules.

A supervised thesis project lasting four months takes place towards the end of the programme. Our intention is that most projects will be carried out in association with a bank, finance house, hedge fund, consultancy or systems provider in the finance industry, and we endeavour to arrange suitable placements.

The project may be an internship, where you work full-time, or a collaborative arrangement where you work at the College and visit the company on a regular basis for project discussions.

Whichever route you choose, you will be assigned an academic project supervisor who will be a member of staff of the Mathematical Finance section.

• Stochastic Processes
• Statistical Methods in Finance
• Mathematical Finance: an introduction to Option Pricing Theory
• Computing in C++ I: Programming in C
• Advanced Methods in Derivatives Pricing
• Quantitative Risk Management
• Interest Rate Models
• Computing in C++ II: Object oriented programming
• Simulation Methods for Finance

• Fixed Income Markets
• Lévy Processes: Theory and Applications
• Dynamic Portfolio Theory
• Numerical Methods for Finance
• Convex Analysis and Optimisation
• Stochastic Differential Equations
• Algorithmic Trading and Machine Learning