Each of the Advanced Modules explores a key area in contemporary Mathematical Finance.  The programme of Advanced Modules is published in July each year, and students on the MSc will be asked to register their choice of three modules.  Attendance at these three assessed modules is compulsory.  

Please note that in exceptional circumstances it may be necessary to cancel or alter a particular lecture, so that the content of modules may be subject to small variation.

Advanced Modules 2012-13

Module 5: Advanced Modelling Topics 1

18-21 September 2012

Assignment due (for students on the part-time MSc ONLY): 12 noon 5 November 2012

Module 6: Advanced Numerical Methods

27-30 November 2012

Assignment due (for students on the part-time MSc ONLY): 12 noon, 14 January 2013

Module 7: Quantitative Risk Management

7, 8, 9, 11 March 2013

Assignment due (for students on the part-time MSc ONLY*): 12 noon, 29 April 2013

Module 8: Advanced Modelling Topics 2

16-19 April 2013

Assignment due (for students on the part-time MSc ONLY*): 12 noon, 3 June 2013

* students on the full-time MSc should consult their Course Calendar for all deadlines.

Advanced Modules 2013-14

Module 5: Advanced Modelling Topics 1 - to be confirmed

24-27 September 2013 - dates to be confirmed

The precise content for this module is yet to be confirmed.  For an indication please see Module 5 held in September 2012 above.  

Module 6: Advanced Numerical Methods - to be confirmed

3-6 December 2013 - dates to be confirmed

The precise content for this module is yet to be confirmed.  For an indication please see Module 6 held in September 2012 above. 

It is likely that modules similar to Modules 7 and 8 above will also be held: further details will be published here and to students in summer 2013.

Registration for Advanced Modules

You will be asked by the Administrative Office to register for Advanced Modules in the summer before taking the written examination.

If you wish to attend an additional Advanced Module (over and above the course requirements, at which your work will not be assessed) you may be able to do so and will be charged a fee – usually £200 (see Appendix B Fees for further details).

If you wish to withdraw from a Module for which you have registered you must notify the Administrative Office at least 10 days before the start of the Module.  If you are unable to do so you will be charged the module fee – usually £200 (this is to cover expenses which by that stage will already have been incurred).  The Administrative Office will then be able to register you for an alternative Module.

If, in exceptional circumstances, you choose not to be assessed for a module which you have attended you must notify the Administrative Office by the first working day following that Module.  You will be asked to pay the fee as above, and the Administrative Office will be able to register you for an alternative Module.

Assessment of Advanced Modules

Advanced Modules will be assessed by short ‘special project’ reports or ‘assignments’, each submitted on a subject chosen by the student that is covered in the module.  (In the case of the modules on advanced numerical techniques and high performance computing, the subject is chosen by the student from a list of assignments.)  Module lecturers are expected to advise students on possible topics suitable for these assignments, but this list should not be regarded as exhaustive.  Reports should be typeset.  The preferred typesetting system is LaTeX but Word or other word processors are acceptable.  A typical report will be about ten single-spaced typed pages of A4. The report may be, for example, an expanded account of a topic covered in lectures, a review of papers in the literature, and/or a computer implementation of an algorithm. There is no requirement for substantial originality, but the report must go beyond the module notes and presentation.  You are required briefly to outline the relation to the material from lectures in the introduction.  It is important to avoid plagiarism so the assignment should not constitute a concatenation of material lifted directly from other sources.  If a report is intended to summarise work in the literature it should offer a critique and be written as far as possible in original phraseology.  Assessment will take into account how you can demonstrate an understanding of methods developed in the course and apply them in a specific (new) context.  (See also Section 5 Examination Conventions.)

Examples of past assignments:

• The Kelly Criterion
• Risk Management and Hedging of Guarantee Features in Variable Annuities
• On the Numerical Valuation of Swing Options
• Derivative Use for Risk Management in Shipping
• Investigation of the Properties of the abcd Function in Relation to LMM-SABR Model
• Estimating Model Parameters from Market Quotes
• On expansions for the SABR model

The report should be submitted via the online system on the Mathematical Institute website 

You will need your Mathematical Institute I.T. account username and password to submit work to this site.  If you have any difficulties with this username and password please email help [-at-] maths [dot] ox [dot] ac [dot] uk

The website will supply you with a confirmation number upon submission of the assignment.  An email will also be sent to your Mathematical Institute email account confirming that your submission has been received.  If you are supplied with a confirmation number and email you can be sure that your work has been successfully submitted.  You should keep a note of the confirmation number for your own records.

When you submit the work you will be required to confirm that the work is entirely your own except where otherwise indicated and that it has not been submitted either wholly or substantially for any other course.

You must submit ONE electronic file.  Any subsidiary programming or other files must be included, as an appendix, within this single file.  (Occasionally these instructions may vary.  In such cases full details will be given to students at the time of the module.)

In the extremely unlikely event that there does seem to be some technical problem and you are concerned that your work has not been submitted please email it to mathfin [-at-] maths [dot] ox [dot] ac [dot] uk with a copy of the Declaration of Authorship to attest that it is your own work, except where indicated.  NB: You only fill in this form if you are submitting it via email.

Failure to correctly acknowledge your sources is plagiarism, i.e. cheating, which is treated as a very serious disciplinary offence.  See information on plagiarism in the Course Handbook.

If for some reason you are unable to submit work electronically you may apply in advance to submit it in paper form - see Course Handbook for details. 

Information concerning deadlines for submission of Advanced Module Assignments

The deadline will usually be six weeks and one weekend after a module.  It is considered that, as for Core Module assignments, four weeks will be sufficient time.  However, an extra two weeks are given to allow for any extremely busy periods at work, or for minor illness or other interruption.  It is therefore expected that all students will be able to submit all their assignments by the given deadlines.

In the case of some prolonged illness or other serious personal difficulty which threatens your ability to submit your assignment on time you should contact the Administrative Office at the earliest opportunity.  The Chairman of the Board of Studies may be able to grant you an extension if the case is considered to be sufficiently serious.  Documentary evidence will usually be required.

It may take some time for such cases to be considered, and until you hear whether an extension has been granted you are advised to keep working in order to submit the work as soon as possible.

Failure to meet the deadlines will normally lead to deduction of marks and may result in failure of that element of the programme and consequentially the programme as a whole.  For example, if an assignment is submitted after a deadline without dispensation, a marks penalty may be imposed.  This is likely to be of the order of 5 USMs per week which the assignment is late.  Such cases will be referred by the Examiners to the Chairman of the Board of Studies to impose an appropriate penalty.