Mathematical and Computational Finance

The course lays the foundation for further research in academia or for a career as a quantitative analyst in a financial or other institution.

You will take four introductory courses in the first week. The introductory courses cover partial differential equations, probability and statistics, financial markets and Python.

The first term focuses on compulsory core material, offering 64 hours of lectures and 24 hours of classes, plus one compulsory computing course offering 16 hours of lectures.

Core courses

• Stochastic Calculus (16 lectures, and 4 classes of 1.5 hours each)
• Financial Derivatives (16 lectures, and 4 classes of 1.5 hours each)
• Numerical Methods (16 lectures, and 4 classes of 1.5 hours each)
• Statistics and Financial Data Analysis (16 lectures, and 4 classes of 1.5 hours each)

Computing course

• Financial computing with C++ I (16 hours of lectures, plus 2 hours of lectures per week over weeks 1-9)

The second term will be a combination of core material, offering 40 hours of lectures and 32 hours of electives (students will choose 4 electives).

Core courses

• Machine Learning (8 lectures, and 2 classes of 1.5 hours each)
• Quantitative Risk Management (8 lectures, and 2 classes of 1.5 hours each)
• Stochastic Control (8 lectures, and 2 classes of 1.5 hours each)
• Fixed Income (16 lectures, and 4 classes of 1.5 hours each)

Elective courses

• Stochastic Volatility (8 lectures, and 2 classes of 1.5 hours each)
• Advanced Monte Carlo Methods (8 lectures, and 2 classes of 1.5 hours each)
• Advanced Numerical Methods (8 lectures, and 2 classes of 1.5 hours each)
• Asset Pricing (8 lectures, and 2 classes of 1.5 hours each)
• Market Microstructure and Algorithmic Trading (8 lectures, and 2 classes of 1.5 hours each)

Computing course

• Financial computing with C++ II (24 hours of lectures in total and practicals in weeks 7 and 8)

The third term is mainly dedicated to a dissertation project which is to be written on a topic chosen in consultation with your supervisor. This may be prepared in conjunction with an industry internship.

The examination will consist of the following elements:

• three written examinations assessing the core material in the first and second terms
• one written examination assessing elective material in the second term
• take-home projects assessing one of core courses in the first and second term
• two practical examinations assessing two courses in financial computing with C++.

The allocation of graduate supervision for this course is the responsibility of the Mathematical Institute and it is not always possible to accommodate the preferences of incoming graduate students to work with a particular member of staff. Under exceptional circumstances a supervisor may be found outside the Mathematical Institute.

You will be assigned an initial supervisor on arrival in Oxford whose role is to act as an academic advisor during the first two terms of the course. In the third term, your supervisor will usually change when you start work on your dissertation.

MSc graduates have been recruited by prominent investment banks and hedge funds. Many past students have also progressed to PhD-level studies at leading universities in Europe and elsewhere.

Changes to this course and your supervision

The University will seek to deliver this course in accordance with the description set out in this course page. However, there may be situations in which it is desirable or necessary for the University to make changes in course provision, either before or after registration. In certain circumstances, for example due to visa difficulties or because the health needs of students cannot be met, it may be necessary to make adjustments to course requirements for international study.

Where possible your academic supervisor will not change for the duration of your course. However, it may be necessary to assign a new academic supervisor during the course of study or before registration for reasons which might include sabbatical leave, parental leave or change in employment.

For further information, please see our page on changes to courses.

Other courses you may wish to consider

If you're thinking about applying for this course, you may also wish to consider the courses listed below. These courses may have been suggested due to their similarity with this course, or because they are offered by the same department or faculty.

All graduate courses offered by the Mathematical Institute

Mathematical and Computational Finance MSc

Mathematical and Theoretical Physics MSc

Mathematical Modelling and Scientific Computing MSc

Mathematical Modelling of Random Systems: Analysis, Models and Algorithms EPSRC CDT

Mathematical Sciences MSc

Mathematics DPhil

Mathematics MSc by Research

Mathematics and Foundations of Computer Science MSc

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Entry requirements