Financial Mathematics and Computation
MSc, 1 year, full-time
This is for you if... you want to study financial mathematics at an advanced level.
Course Description
Quantitative finance is widely recognised as a rapidly expanding market for mathematical and scientific skills. Financial Mathematics is an application of mathematical methods to financial markets and risk management, using advanced computer technology to predict the behaviour of the markets and suggest strategies for investment. The focus of this MSc is on computational techniques for finance, on mathematical modelling and on mathematical and economic theories of finance.
On this course you will learn how to formulate problems from finance in mathematical terms, select and develop an appropriate numerical method, use programming skills to implement the method and compute results, and finally to present and interpret these results for a potential client.
- Start date
- September each year
- Department
- Mathematics, Informatics, School of Business
- Contact
-
MSc Financial Maths Admissions
+44 (0)116 252 3896
mathspg@le.ac.ukDepartment of Mathematics website
Why Leicester?
This postgraduate degree is a collaboration between our Department of Mathematics and School of Business, both of which are noted for the strength of their research and teaching.
The Department of Mathematics at Leicester carries out research, training and postgraduate teaching in finance, risk management, dynamical systems, computational modelling, actuarial science, data analysis, algebra, topology and associated fields.
We have more than 50 postgraduate research students, over 80 postgraduate taught students and in excess of 100 students studying by distance learning.
The Department provides a stimulating academic environment where you can develop your knowledge and skills, and contribute to a wider understanding of the subject area.
Course Structure
Semester 1
Semester 1
Core modules
- Financial Mathematics 1
- Scientific Computing
- plus either Advanced C++ Programming or Practical Programming
Option modules
Choose one option module from:
- Models
- Mortality
- Statistics
- Operational Research
- Foundations of Financial Analysis and Investment
Modules shown represent choices available to current students. The range of modules available and the content of any individual module may change in future years.
Semester 2
Semester 2
Core modules
Option modules
Choose one option module from:
- Data Mining and Neural Networks
- Further Statistics
- Generalised Linear Models
- International Money and Finance
- Financial Market Microstructure and Trading
- Financial Risk Management
Modules shown represent choices available to current students. The range of modules available and the content of any individual module may change in future years.
Project
Project
Over the summer, some projects will be carried out as an internship in association with a bank, finance house, hedge fund, consultancy or systems provider in the industry. These internship opportunities will lead to a significant upgrading of your career prospects.
Examples of recent projects and the financial institutions which hosted them:
- Time Series Analysis: Analysing Stability and Modelling Future Correlation (CitiGroup)
- Relative Pricing of Interest Rate Derivatives: Interest Rate Cap and Swaption (CitiGroup)
- Market Data Analysis Tool, with specific focus on Negative-Rate Handling (CitiGroup)
- Evaluating the Perfomance of Mortgage Underwriters (Santander)
- Exotic Derivative Counterparty Risk (CitiGroup)
- Counterparty Credit Risk Exposure Interpolation (CitiGroup)
- The effect of Implied Volatility Skew on Quanto and Composite Option Pricing (Daiwa Capital Markets Eurpoe)
- Proprietary Trading in Equity Market (Daiwa Capital Markets Europe)
Modules shown represent choices available to current students. The range of modules available and the content of any individual module may change in future years.
Additional Information
What's the difference?
If you complete the modules but not the project, you will qualify for a Postgraduate Diploma (PGDip). If you complete only some of the modules, you may qualify for a Postgraduate Certificate (PGCert).
Teaching and Assessment
Teaching methods include lectures, seminars and computer practicals. Assessment is a mixture of coursework assignments, oral presentations and written exams.
Entry Requirements
2:1 degree (or equivalent) in Maths, Sciences, or Engineering. We will consider a 2:1 degree in a social science (e.g. Economics) on an individual basis, depending on the amount of mathematical subjects you have covered. You will need a fairly solid background in maths including an understanding of calculus, linear algebra, ordinary differential equations, probability and statistics. If your maths isn't quite up to scratch, you should consider taking our one-year Pre-Masters Diploma from which you can progress straight onto the MSc.
English Language Requirements
IELTS 6.0 or equivalent. If your first language is not English, you may need to provide evidence of your English language ability. If you do not yet meet our requirements, our English Language Teaching Unit (ELTU) offers a range of courses to help you to improve your English to the necessary standard.
International Qualifications
Find your country in this list to check equivalent qualifications, scholarships and additional requirements.
Countries listFees and Funding
-
This is the total course fee.
Starting in September 2017
- £9,730
Starting in September 2018
- £10,170
Find out more about scholarships and funding.
Did you know you can apply for a Postgraduate Loan of up to £10,000, subject to eligibility?
Additional costs
Please note that you will need to buy a Casio FX83GT calculator (approximately £6). This is not included in your tuition fee.
-
This is the total course fee.
Starting in September 2017
- £18,250
Starting in September 2018
- £19,070
Find out more about scholarships and funding.
Additional costs
Please note that you will need to buy a Casio FX83GT calculator (approximately £6). This is not included in your tuition fee.
Career Opportunities
Careers
Our Career Development Service is here to support you, with advice on interviews, CVs, work experience, volunteering and more. From Freshers’ Week to Graduation and beyond, they are here to help you reach your professional goals.
| Course | Qualification | Duration | Start Dates | Availability |
|---|---|---|---|---|
| Financial Mathematics and Computation | MSc | 1 year full-time | September each year | Apply Now |