{"id":159,"date":"2016-01-12T10:50:52","date_gmt":"2016-01-12T10:50:52","guid":{"rendered":"http:\/\/www.macs.hw.ac.uk\/students\/?page_id=159"},"modified":"2016-01-12T10:50:52","modified_gmt":"2016-01-12T10:50:52","slug":"msc-financial-mathematics","status":"publish","type":"page","link":"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/ams\/pg-programmes\/msc-financial-mathematics\/","title":{"rendered":"MSc Financial Mathematics"},"content":{"rendered":"<p><strong>Programme Director:<\/strong>\u00a0<a href=\"https:\/\/www.hw.ac.uk\/schools\/mathematical-computer-sciences\/staff-directory\/matthias-fahrenwaldt.htm\">Matthias Fahrenwaldt<\/a><a href=\"https:\/\/www.hw.ac.uk\/schools\/mathematical-computer-sciences\/staff-directory\/matthias-fahrenwaldt.htm\"><img loading=\"lazy\" decoding=\"async\" class=\"alignright\" src=\"https:\/\/www.hw.ac.uk\/staff\/img\/Fahrenwaldt.jpg\" alt=\"Matthias Fahrenwaldt\" width=\"139\" height=\"175\" \/><\/a><\/p>\n<p>Programme Code:\u00a0F717-FIM<\/p>\n<p>For further information about course choices consult:<\/p>\n<ul>\n<li><a href=\"http:\/\/www.macs.hw.ac.uk\/macshome\/structures18\/F717-FIM_201718.pdf\">Programme Structure and Progression Rules<\/a>\u00a0for your own degree programme.<\/li>\n<li><a href=\"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/wp-content\/uploads\/MSc-Financial-Mathematics-201718.pdf\">MSc Financial Mathematics Programme Handbook<\/a><\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<hr \/>\n<h2>Preparatory Reading<\/h2>\n<p>Introductions to mathematical finance<br \/>\n&#8211; &#8220;Financial Calculus: An Introduction to derivative pricing&#8221; by Martin Baxter &amp; Andrew Rennie (Cambridge University Press)<br \/>\n&#8211; &#8220;Stochastic Financial Models&#8221; by Douglas Kennedy (CRC Press)<br \/>\n&#8211; &#8220;Introduction to Stochastic Calculus Applied to Finance&#8221; (second edition) by Damien Lamberton &amp; Bernard Lapeyre (CRC Press)<\/p>\n<p>Background reading for the theory of stochastic processes<br \/>\n&#8211; &#8220;Probability and Random Processes&#8221; (third edition) by Geoffrey Grimmett and David Stirzaker (Oxford University Press)<\/p>\n<p><a href=\"http:\/\/www.macs.hw.ac.uk\/timetable\/MScFMS1\">Semester 1 HWU Timetable <\/a><\/p>\n<p><a href=\"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/wp-content\/uploads\/FiM-Sem1-17-18-timetable.docx\">Semester 1 UoE Timetable<\/a><\/p>\n<p><a href=\"https:\/\/timetable.hw.ac.uk\/WebTimetables\/LiveED\/login.aspx\">Semester 2 HWU Timetable<\/a><\/p>\n<p>Semester 2 UoE Timetable<\/p>\n<h2>Compulsory Courses<\/h2>\n<table border=\"1\" width=\"100%\" cellspacing=\"1\" cellpadding=\"3\">\n<tbody>\n<tr>\n<th style=\"text-align: center\">HW Code<\/th>\n<th style=\"text-align: center\">UoE Code<\/th>\n<th style=\"text-align: center\">Title<\/th>\n<th style=\"text-align: center\">Semester<\/th>\n<th style=\"text-align: center\">Credits<\/th>\n<\/tr>\n<tr>\n<td style=\"text-align: center\"><a href=\"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/ams\/courses\/f71fs-stochastic-analysis-in-finance\/\">F71SF<\/a><\/td>\n<td style=\"text-align: center\">MATH11154<\/td>\n<td style=\"text-align: left\">Stochastic Analysis in Finance<\/td>\n<td style=\"text-align: center\">1<\/td>\n<td style=\"text-align: center\">20<\/td>\n<\/tr>\n<tr>\n<td style=\"text-align: center\"><a href=\"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/ams\/courses\/f71dt-discrete-time-finance\/\">F71DT<\/a><\/td>\n<td style=\"text-align: center\">MATH11153<\/td>\n<td style=\"text-align: left\">Discrete-Time Finance<\/td>\n<td style=\"text-align: center\">1<\/td>\n<td style=\"text-align: center\">10<\/td>\n<\/tr>\n<tr>\n<td style=\"text-align: center\"><a href=\"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/ams\/courses\/f71dm-derivatives-markets\/\">F71DM<\/a><\/td>\n<td style=\"text-align: center\">MATH11056<\/td>\n<td style=\"text-align: left\">Derivative Markets<\/td>\n<td style=\"text-align: center\">1<\/td>\n<td style=\"text-align: center\">7.5<\/td>\n<\/tr>\n<tr>\n<td style=\"text-align: center\"><a href=\"https:\/\/www.hw.ac.uk\/documents\/pams\/201718\/C31FM_201718.pdf\">C31FM<\/a><\/td>\n<td style=\"text-align: center\">MATH11065<\/td>\n<td style=\"text-align: left\">Financial Markets<\/td>\n<td style=\"text-align: center\">1<\/td>\n<td style=\"text-align: center\">15<\/td>\n<\/tr>\n<tr>\n<td style=\"text-align: center\"><a href=\"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/ams\/courses\/f71ta-special-topics-1\/\">F71TA<\/a><\/td>\n<td style=\"text-align: center\">MATH11058<\/td>\n<td style=\"text-align: left\">Special Topics 1<\/td>\n<td style=\"text-align: center\"><span style=\"text-align: center\">1<\/span><\/td>\n<td style=\"text-align: center\">7.5<\/td>\n<\/tr>\n<tr>\n<td style=\"text-align: center\"><a href=\"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/ams\/courses\/f71cm-credit-risk-modelling\/\">F71CM<\/a><\/td>\n<td style=\"text-align: center\">MATH11130<\/td>\n<td style=\"text-align: left\">Credit Risk Modelling<\/td>\n<td style=\"text-align: center\">2<\/td>\n<td style=\"text-align: center\">15<\/td>\n<\/tr>\n<tr>\n<td style=\"text-align: center\"><a href=\"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/ams\/courses\/f71dp-derivative-pricing-and-financial-modelling\/\">F71DP<\/a><\/td>\n<td style=\"text-align: center\">MATH11057<\/td>\n<td style=\"text-align: left\">Derivative Pricing and Financial Modelling<\/td>\n<td style=\"text-align: center\"><span style=\"text-align: center\">2<\/span><\/td>\n<td style=\"text-align: center\">15<\/td>\n<\/tr>\n<tr>\n<td style=\"text-align: center\"><a href=\"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/ams\/courses\/f71tb-special-topics-2\/\">F71TB<\/a><\/td>\n<td style=\"text-align: center\">MATH11059<\/td>\n<td style=\"text-align: left\">Special Topics 2<\/td>\n<td style=\"text-align: center\">2<\/td>\n<td style=\"text-align: center\">7.5<\/td>\n<\/tr>\n<tr>\n<td style=\"text-align: center\"><a href=\"https:\/\/www.hw.ac.uk\/documents\/pams\/201718\/F71FD_201718.pdf\">F71FD<\/a><\/td>\n<td style=\"text-align: center\">MATH11013<\/td>\n<td style=\"text-align: left\">MSc Dissertation<\/td>\n<td style=\"text-align: center\">2\/3<\/td>\n<td style=\"text-align: center\">60<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<p>&nbsp;<\/p>\n<h2>Optional Courses<\/h2>\n<table border=\"1\" width=\"100%\" cellspacing=\"1\" cellpadding=\"3\">\n<tbody>\n<tr>\n<th style=\"text-align: center\">HW Code<\/th>\n<td style=\"text-align: center\">UoE<\/td>\n<th style=\"text-align: center\">Title<\/th>\n<th style=\"text-align: center\">Semester<\/th>\n<th style=\"text-align: center\">Credits<\/th>\n<\/tr>\n<tr>\n<td style=\"text-align: center\"><a href=\"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/ams\/courses\/f71st-statistical-inference\/\">F71ST<\/a><\/td>\n<td style=\"text-align: center\">MATH11129<\/td>\n<td style=\"text-align: left\">Statistical Inference*<\/td>\n<td style=\"text-align: center\">1<\/td>\n<td style=\"text-align: center\">7.5<\/td>\n<\/tr>\n<tr>\n<td style=\"text-align: center\"><a href=\"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/ams\/courses\/f71sm-statistical-methods\/\">F71SM<\/a><\/td>\n<td style=\"text-align: center\">MATH11070<\/td>\n<td style=\"text-align: left\">Statistical Methods*<\/td>\n<td style=\"text-align: center\">1<\/td>\n<td style=\"text-align: center\">15<\/td>\n<\/tr>\n<tr>\n<td style=\"text-align: center\"><a href=\"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/ams\/courses\/f71sc-stochastic-control-and-dynamic-asset-allocation\/\">F71SC<\/a><\/td>\n<td style=\"text-align: center\">MATH11150<\/td>\n<td style=\"text-align: left\">Stochastic Control and Dynamic Asset Allocation<\/td>\n<td style=\"text-align: center\"><span style=\"text-align: center\">2<\/span><\/td>\n<td style=\"text-align: center\">10<\/td>\n<\/tr>\n<tr>\n<td style=\"text-align: center\"><a href=\"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/ams\/courses\/f71om-optimization-methods-in-finance\/\">F71OM<\/a><\/td>\n<td style=\"text-align: center\">MATH11158<\/td>\n<td style=\"text-align: left\">Optimisation Methods in Finance<\/td>\n<td style=\"text-align: center\">2<\/td>\n<td style=\"text-align: center\">10<\/td>\n<\/tr>\n<tr>\n<td style=\"text-align: center\"><a href=\"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/ams\/courses\/f70sb-simulation\/\">F70SB<\/a><\/td>\n<td style=\"text-align: center\">MATH10015<\/td>\n<td style=\"text-align: left\">Simulation<\/td>\n<td style=\"text-align: center\">2<\/td>\n<td style=\"text-align: center\">10<\/td>\n<\/tr>\n<tr>\n<td style=\"text-align: center\"><a href=\"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/ams\/courses\/f71nt-numerical-techniques-of-partial-differential-equations\/\">F71NT<\/a><\/td>\n<td style=\"text-align: center\">MATH11068<\/td>\n<td style=\"text-align: left\">Numerical Techniques for PDEs<\/td>\n<td style=\"text-align: center\">2<\/td>\n<td style=\"text-align: center\">7.5<\/td>\n<\/tr>\n<tr>\n<td style=\"text-align: center\"><a href=\"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/ams\/courses\/f71ts-time-series-analysis\/\">F71TS<\/a><\/td>\n<td style=\"text-align: center\">MATH11062<\/td>\n<td style=\"text-align: left\">Time Series Analysis<\/td>\n<td style=\"text-align: center\">2<\/td>\n<td style=\"text-align: center\">7.5<\/td>\n<\/tr>\n<tr>\n<td style=\"text-align: center\"><a href=\"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/ams\/courses\/f71pt-portfolio-theoryf71ah-financial-economics-1\/\">F71PT<\/a><\/td>\n<td style=\"text-align: center\">MATH11149<\/td>\n<td style=\"text-align: left\">Portfolio Theory<\/td>\n<td style=\"text-align: center\">2<\/td>\n<td style=\"text-align: center\">15<\/td>\n<\/tr>\n<tr>\n<td style=\"text-align: center\"><a href=\"https:\/\/www.hw.ac.uk\/documents\/pams\/201718\/C21FE_201718.pdf\">C21FE<\/a><\/td>\n<td style=\"text-align: center\">MATH11064<\/td>\n<td style=\"text-align: left\">Financial Econometrics<\/td>\n<td style=\"text-align: center\">2<\/td>\n<td style=\"text-align: center\">7.5<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<p>Students should choose courses that are worth a total of between 22.5 and 30 credits.<\/p>\n<p>* Note: Only one of Statistical Methods and Statistical Inference can be selected.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>MSc in Financial Mathematics jointly delivered by Heriot-Watt University and the University of Edinburgh.<\/p>\n","protected":false},"author":1,"featured_media":0,"parent":72,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"page-templates\/ams.php","meta":{"footnotes":""},"tags":[3,4],"class_list":["post-159","page","type-page","status-publish","hentry","tag-ams-pg-ed-programme","tag-ams-pg-programme"],"_links":{"self":[{"href":"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/wp-json\/wp\/v2\/pages\/159","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/wp-json\/wp\/v2\/comments?post=159"}],"version-history":[{"count":0,"href":"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/wp-json\/wp\/v2\/pages\/159\/revisions"}],"up":[{"embeddable":true,"href":"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/wp-json\/wp\/v2\/pages\/72"}],"wp:attachment":[{"href":"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/wp-json\/wp\/v2\/media?parent=159"}],"wp:term":[{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.macs.hw.ac.uk\/students-archive\/2017-18\/wp-json\/wp\/v2\/tags?post=159"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}