Programme Director: Dr Abdul-Lateef Haji-Ali
Programme Code: F717-FIM
For further information about course choices consult:
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)
Programme Structure
| Semester 1 (Mandatory) | Semester 2 (Mandatory) |
|---|---|
| F71SF Stochastic Analysis in Finance (20 Credits) ( UoE Code MATH11154 ) | F71CM Credit Risk Modelling (15 Credits) |
| F71DT Discrete-Time Finance (10 Credits) ( UoE Code MATH11153 ) | F71DP Derivative Pricing and Financial Modelling (15 Credits) |
| F71DM Derivative Markets (7.5 Credits) | F71TB Special Topics 2 (7.5 Credits) |
| C31FM Financial Markets (15 Credits) | |
| F71TA Special Topics 1 (7.5 Credits) ( UoE Code MATH11058 ) | |
| Semester 1 (Optional) | Semester 2 (Optional) |
| F71ST Statistical Inference* (7.5 Credits) | F71SC Stochastic Control and Dynamic Asset Allocation (Credits 10 ) ( UoE Code MATH11150 ) |
| F71SM Statistical Methods* (Credits 15) | F71OM Optimisation Methods in Finance (Credits 10) ( UoE Code MATH11158 ) |
| F71NP Numerical Probability and Monte Carlo (Credits 10) ( UoE Code MATH11202 ) | |
| F71NT Numerical Techniques for PDEs (Credits 7.5) | |
| F71DA Data Analytics and Time Series Analysis (Credits 15) | |
| F71PT Portfolio Theory (Credits 15) |
Semester 3:
F71FD MSc Dissertation (60 Credits)
MATH11013
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.