MSc in Mathematical and Computational Finance - Course Components

  Introductory Courses

• Introduction to Partial Differential Equations
• Introduction to Probability
• Introduction to Matlab

  Core Courses

• Practical Stochastic Calculus - Michaelmas Term
• Stochastic Differential Equations - Michaelmas Term
• Asset Pricing and Portfolio Theory - Michaelmas Term
• Financial Derivatives 1 - Michaelmas Term
• Numerical Methods 1: Finite Difference Methods - Michaelmas and HilaryTerm
• Numerical Methods 2: Monte-Carlo Methods - Michaelmas and HilaryTerm
• Fixed Income Markets - Hilary Term
• Financial Derivatives 2 - Hilary Term
• Stochastic Control and Dynamic Asset Allocation - Hilary Term

  Optional Courses

• Quantitative Risk Management - three day intensive course shortly after Hilary term
• Advanced Modelling Topics - three day intensive course in the Easter break
• Time Series Analysis - four day intensive course in Trinity Term

  Programming Courses

• Financial Computing with C++ (part 1) - Hilary Term
• Financial Computing with C++ (part 2) - two week course shortly after Trinity Term

  Dissertation and Presentation

• The dissertation will be written during Trinity Term on a topic chosen in consultation with your supervisor. It should be no more than 40 pages long and should contain material which, although not necessarily original research, cannot be found elsewhere. Credit will be given for the mathematical and nancial content, as well as for the quality of the presentation and the clarity of the writing.
• Each student must give a 15 minute oral presentation after Trinity Term about his/her dissertation

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