Financial Mathematics and Computation
MSc, 1 year, full-time
This is for you if... you want to study financial mathematics at an advanced level.
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.
This postgraduate degree is a collaboration between our Departments of Mathematics and Economics, 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.
- Financial Mathematics 1
- Scientific Computing
- plus either Advanced C++ Programming or Practical Programming
Choose one option module from:
- Advanced Readings in Mathematics
- Operations Research
- Principles of Finance
Choose one option module from:
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)
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.
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.
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Fees and Funding
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