Quantitative Finance

Quantitative 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 Quantitative Finance develops sophisticated statistical, programming and economic skills for roles in areas such as quantitative asset management and risk management.

The MSc in Quantitative Finance will equip you with a rigorous understanding of the theory behind asset pricing, fixed income securities and risk management, supported by solid knowledge of numerical analysis and programming languages; special emphasis is on econometric techniques as forecasting and market microstructure analysis.

Typical career paths of graduates from our MSc in Quantitative Finance include research positions (in both financial and academic institutions), or roles involving the assessment of market microstructure across a number of exchanges, stress testing/scenario analysis, development and improvements of asset allocation models and analysis of potential investment vehicles across different asset classes, such as Hedge Funds Risk Analyst, Financial Analyst and Asset Allocation Analyst.

The demand for recruits with strong quantitative skills has spread beyond the pure derivatives area, and graduates from the course move into a range of careers in the financial sector. Cass's proximity to the City of London helps graduates to access outstanding career opportunities, especially as Cass has close links with many City institutions.

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 theory, practice and relevance. Therefore, there might be some late changes 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

Two Induction Weeks The Quantitative Finance course starts with two compulsory induction weeks, focused on:

• 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 reminder course of advanced financial mathematics, statistics and basic computing which forms a prerequisite of the core modules in term 1.

Term 1

Four core modules

Asset Pricing

This course introduces students to the basic concepts used for pricing and analysing financial securities, focusing on spot markets. The efficiency of financial markets is discussed together with the question of whether stock prices are predictable. The importance of the risk and its trade off with return will be analysed in depth. The course is academically rigorous in outlining theoretical models but also focuses on the practical applications and discusses empirical finding.

Numerical Methods 1: Foundations

This module introduces basic concepts used in numerical methods and integrates them with a programming language. This module is lab based and will cover Root finding and non-linear sets of equations; Solution of linear systems; Interpolation and extrapolation; Integration of functions; Partial differential equation; Generation of random number. This module uses Matlab as the programming language and does not require any prior knowledge of programming.

Derivatives

The course will develop an in depth understanding of forwards, futures and swaps and their application in risk management situation. The course covers stock index futures, commodity forward and futures, interest rate derivatives, portfolio insurance, credit derivatives and embedded derivatives for corporate applications.

Foundations of Econometrics

The course aims at introducing students to the technical issues in statistical analysis of financial data such as estimation of time series models, forecasting of financial and economic data, and the modelling of asset prices volatility. The course will be based on standard econometric packages like PC Give.

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

Term 2

Four core modules

Fixed Income Securities

This module will acquaint students with the main modelling used in fixed income securities as well as provide students with a good understanding of various fixed income security products. It will enable students to use models in this area for practical applications.

Numerical Methods 2: Applications in Finance

This module builds on Numerical Methods 1 and focuses on applications to finance. Students will learn how to generate stochastic processes; Monte Carlo Simulations; Trees; Pricing American options; Applications in risk management. This module again integrates the programming language Matlab and is lab based.

Risk Analysis

The aim of this module is to develop a solid background for evaluating, managing and researching financial risk. To this end students will learn to analyse and quantify risk according to current best practice in the markets, as implemented in the RiskMetrics and CreditMetrics methodologies.

Econometrics of Financial Markets

This module will cover recent advances in the field of financial econometrics, with particular emphasis on high frequency finance and data types, linear time series models and forecasting, GMM and maximum likelihood estimation methods in finance. Further, students will gain exposure to the most recent literature related to modelling return distributions and volatility, focussing on seasonal and realised volatility dynamics, volatility processes/conditional volatility models, correlation, dynamic correlations and multivariate risks.

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
• Behavioural Finance
• Credit Fund Management
• Trading and Market Microstructure
• Ethics, Society and the Finance Sector
• Energy and Water Derivatives
• Technical Analysis and Trading Systems
• Advanced Financial Engineering and Credit Derivatives
• Advanced Options Trading
• Trading and Hedging in the Forex Market
• Introduction to C
• VBA with application for Finance

International Electives

• Investment Strategy (Taught in a block format in New York)
• Monetary Policy (Taught in a block format in Singapore)

*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:

• Stock returns and volatility in Chinese stock markets
• Nearest neighbour estimators and foreign exchange rate predictions The inflation market of Sweden - an empirical investigation employing the Markov switching model
• Sovereign credit default swaps intensity calibration, estimation and application
• A comparative study of volatility forecasting models for the Greek stock market index
• Modelling and pricing credit index tranches using the normal inverse Gaussian distribution
• Fractional Co-integration and Long Memory in index options: Application to High Frequency statistical arbitrage trading strategies
• Relationship Between Default Values and Recovery Rates and its Effect on Portfolio Credit Risk
• Time Varying correlation between stock and bond returns

Teaching staff

The teaching staff on the MSc in Quantitative Finance 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 Quantitative Finance.

Course Director

Dr Dirk Nitzsche

Other Module Leaders include:

• Prof. Keith Cuthbertson
• Prof. Giovanni Urga
• Dr Lorenzo Trapani
• Dr Laura Ballotta
• Dr Ioannis Kyriakou
• Dr Gianluca Fusai
• Dr Max Bruche

Teaching staff on Cass Talks

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

Dirk Nitzsche on Mutual Funds

Prof. Keith Cuthbertson on female quotas for boards

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 Quantitative 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 micro- and macroeconomics and econometrics within their first degree

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Course Syllabus

You may also 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 however and will only be requested by the admissions team if required as part of the assessment process.

References

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

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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.

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

Although investment and hedge funds remain the biggest users and innovators in quantitative finance, other financial sectors such as commercial banking, insurance and fund management are now keenly interested. Fund managers and hedge funds, for example, make extensive use of quantitative techniques to develop trading strategies, optimise portfolios and assess risk.

MSc in Quantitative Finance Employability

Our Graduate Destination Survey of the MSc in Quantitative Finance class of 2014 shows that 76.8% of graduates are now either in work (61.1%) or not job seeking as they are in further study, military service etc. (15.7%)

Some examples of where graduates from the MSc in Quantitative Finance class of 2014 are working are:

• Capita Asset Services - Analyst
• RBS - Graduate Risk Analyst
• Dong MeKong Construction Manufacture and Trading - Project Assistant
• nPOWER - Quant Risk Analyst

You can also view data from our Graduate Destination Survey (pdf) from 2014.

Cass Careers Service