Programme Director: Matthias Fahrenwaldt
Programme Code: F717-FIM
For further information about course choices consult:
- Programme Structure and Progression Rules for your own degree programme.
- MSc Financial Mathematics Programme Handbook
Preparatory Reading
Introductions to mathematical finance
– “Financial Calculus: An Introduction to derivative pricing” by Martin Baxter & Andrew Rennie (Cambridge University Press)
– “Stochastic Financial Models” by Douglas Kennedy (CRC Press)
– “Introduction to Stochastic Calculus Applied to Finance” (second edition) by Damien Lamberton & Bernard Lapeyre (CRC Press)
Background reading for the theory of stochastic processes
– “Probability and Random Processes” (third edition) by Geoffrey Grimmett and David Stirzaker (Oxford University Press)
Semester 2 UoE Timetable
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 |
| F71NP | MATH11202 | Numerical Probability and Monte Carlo | 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 |
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.