MSc Financial Mathematics

Matthias Fahrenwaldt

Programme Director: Matthias Fahrenwaldt

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)

Semester 1 HWU Timetable

Semester 1 UoE Timetable

Semester 2 HWU Timetable

Semester 2 UoE Timetable

Programme Structure

Semester 1 (Mandatory)Semester 2 (Mandatory)
F71SF Stochastic Analysis in Finance (20 Credits)
( UoE Code MATH11154 )

F71CM Credit Risk Modelling (15 Credits)
( UoE Code MATH11130 )
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)
( UoE Code MATH11059 )
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.