Programme Director: Dr Marcus C Christiansen
Programme Codes: F717
For further information about course choices consult:
Preparatory Reading
Suggested reading list:
- An introductory book on Mathematical Finance: Financial Calculus: An Introduction to derivative pricing by Martin Baxter & Andrew Rennie
- An intermediate-level book on Mathematical Finance: Introduction to Stochastic Calculus Applied to Finance (second edition) by Damien Lamberton & Bernard Lapeyre
- A classical book on Stochastic Processes in Discrete-Time: Probability with Martingales by David Williams
Semester 2 Timetable_HWU Courses
Semester 2 Timetable_UoE Courses
Compulsory Courses
| HW Code | UoE Code | Title | Semester | Credits |
|---|---|---|---|---|
| F71SF | MATH11154 | Stochastic Analysis in Finance | 1 | 20 |
| F71DT | MATH11153 | Discrete-Time Finance | 1 | 10 |
| F71DM | MATH11056 | Derivative Markets | 1 | 7.5 |
| C31FM | MATH11065 | Financial Markets | 1 | 15 |
| F71TA | MATH11058 | Special Topics 1 | 1 | 7.5 |
| F71CM | MATH11130 | Credit Risk Modelling | 2 | 15 |
| F71DP | MATH11057 | Derivative Pricing and Financial Modelling | 2 | 15 |
| F71TB | MATH11059 | Special Topics 2 | 2 | 7.5 |
| F71FD | MATH11013 | MSc Dissertation | 2/3 | 60 |
Optional Courses
| HW Code | UoE | Title | Semester | Credits |
|---|---|---|---|---|
| F71ST | MATH11129 | Statistical Inference* | 1 | 7.5 |
| F71SM | MATH11070 | Statistical Methods* | 1 | 15 |
| F71SC | MATH11150 | Stochastic Control and Dynamic Asset Allocation | 2 | 10 |
| F71OM | MATH11158 | Optimisation Methods in Finance | 2 | 10 |
| F70SB | MATH10015 | Simulation | 2 | 10 |
| F71NT | MATH11068 | Numerical Techniques for PDEs | 2 | 7.5 |
| F71TS | MATH11062 | Time Series Analysis | 2 | 7.5 |
| F71PT | MATH11149 | Portfolio Theory | 2 | 15 |
| C21FE | MATH11064 | Financial Econometrics | 2 | 7.5 |
Students should choose courses that are worth a total of between 22.5 and 30 credits.
* Note: Only one of Statistical Methods and Statistical Inference can be selected.