Welcome to the course website for students on the part-time MSc in Mathematical Finance.  

Introduction to Oxford - please see this information regarding venues, travel to Oxford, places to stay in Oxford, etc.

Pre-Course Reading - please see our list of recommended reading to undertake before you arrive.

Upon commencing the MSc, each student will receive the Course Handbook, which summarises much of the information on this website, and also provides information specific to the year in which the student commences the MSc.  You should always consult the Handbook relevant to you, but we hope to provide much of the information in a convenient form on this website, which is updated regularly.

If you cannot find the information you require here or in the Course Handbook please do not hesitate to contact the Course Administrator.

Aims of the Programme

The MSc in Mathematical Finance aims to develop the students’ modelling, mathematical and computational skills in applications to finance. The modules cover the most important technical and quantitative aspects of finance in regular use in banks and other financial institutions, from basic material to current research. There is also material on related subjects to give students a thorough grounding in the discipline and to enable them to make intellectual links between different topics. There is a substantial transfer of technology from applied mathematics, pure mathematics, statistics, computing, physics and corporate finance.

For more information on the aims and learning outcomes of the MSc see the Programme Specification.

Course Structure - Overview of Components

Core Modules and Written Examinations

The core modules cover the mathematical foundations (probability, statistics, PDEs) stochastic calculus and martingale theory, portfolio theory, the Black-Scholes model and extensions, numerical methods (finite differences and Monte Carlo), interest rate modeling, stochastic optimization, exotic derivatives and stochastic volatility. Matlab is taught as a practical computing language.  Each core module is each one week long, running between January and June.  Each has an associated practice problem sheet assignment.  The material of the core modules is assessed by two two-hour written examinations in September.

Advanced Modules

After taking the written examinations students move on to advanced modules.  Each of the advanced modules explores a key area in contemporary mathematical finance.  Students should choose three advanced modules.  Each is assessed by a written assignment.  

The modules vary from year to year: details will be published each summer.  

Dissertation

The dissertation is a piece of academic research.  You are encouraged to make a project proposal based on your work.   You will start on your dissertation after completing the advanced modules and submit it in the middle of April, just under two and a half years after starting the MSc.

(Exceptionally, a candidate for the MSc in Mathematical Finance who is unable to complete the Dissertation, may apply to be awarded the Postgraduate Diploma.  See Course Handbook for details.) 

Examination and Assessment

Reading Lists

Other Regulations: including attendance, suspending and extending studies - see Course Handbook

Useful Forms

Online Forum

Please note: you need to be logged in using your Maths Institute username and password to access the forum.

Libraries and electronic resources

Please see the 'Overview of Library Resources for Mathematical Finance' available on the Mathematical Institute library's website, and  'Key Business Resources' produced by the Sainsbury Library at the Said Business School.

Students will be given a session on online resources, particularly important to those studying at a distance, early on in the core modules.

The Whitehead Library of the Mathematical Institute http://www.maths.ox.ac.uk/library/ holds material covering mathematical topics at graduate and research level, including mathematical finance.  It is primarily for the use of the graduate students and academic staff of the Mathematical Institute.

The library is kept locked at all times, but on arrival at the department, your University Card will have been activated to open the library door. Reference use of the library is available to you when you are in Oxford for a course Module.  No books are allowed to be taken away from Oxford.

Contact:  Ms Cathy Hunt (Librarian)

Email:    library [-at-] maths [dot] ox [dot] ac [dot] uk

Other libraries holding some mathematical finance material include:

The Radcliffe Science Library (RSL) is the science library of the Bodleian.

For more information, see: http://www.bodleian.ox.ac.uk/science/ - this includes Library Services, remote access to e-resources, Scan&Deliver remote document delivery.

SOLO Library Catalogue - includes SOLO video tutorials

OU e-journals 

Guide to electronic resources for Mathematics (includes e-books, databases, conference procedings, dissertations, e-journals for maths, economics, finance, and links to reference management guides and support)

Key resources for business (companies, banks' profiles and market information, and more) 

Guide to managing your references 

Remote access to e-resources 

Contacts: ljilja [dot] ristic [-at-] bodleian [dot] ox [dot] ac [dot] uk for research support; enquiries [dot] rsl [-at-] bodleian [dot] ox [dot] ac [dot] uk for library services and issues relating to accessing e-resources

The Sainsbury Library in the Said Business School,

see:  http://www.bodleian.ox.ac.uk/business 

 The Bodleian Social Science Library (SSL), see:  http://www.bodleian.ox.ac.uk/ssl

Further information about all Oxford Libraries can be found at:  http://www.bodleian.ox.ac.uk/libraries/libraries

Bench Collection

A small collection of books is held close to the Mathematical Finance Administrative office (currently in Dartington House, but due to move to the new Mathematical Institute building in summer 2013).  This is an informal collection, not part of the University libraries.  Please call in to the Mathematical Finance Administrative Office (currently DH35) during office hours if you wish to inspect this collection/borrow a book.  The books in this collection can be borrowed whilst you are in Oxford for a course Module, but please note that books are not to be taken away from Oxford.

Graduation and after

You will need to book your graduation ceremony via your college office.  You are advised to contact them as soon as you are sure when your dissertation submission will be, as graduation ceremonies get booked up quickly.  If you submit your Dissertation at the usual time (in mid April) you can expect the examiners to consider you at a meeting in June (check with the Mathematical Finance Administrative Office for details of examiners' meetings).  You can then expect to graduate by July, but will need to check in advance with your college about availability of graduation ceremonies.  Graduation is not only the time at which you formally receive your degree certificate, but is can present a great opportinity to invite friends/relatives to share in your Oxford experience!

We like to keep in touch with former students of the programme, and will from time to time send you details of events and other matters which might be of interest to alumni.