The MSc Financial and Computational Mathematics is a full-time degree studied over a period of approximately 12 months commencing from late September. Students on this course take taught modules and prepare a dissertation. Classes are in the form of teaching/learning sessions, including computer practical sessions, which take place during normal semesters.
As future graduates, you will gain experience of the types of problems encountered by academics and quantitative practitioners, both via taught courses and project work in an individual and group environment. Written and oral presentations will also be undertaken at various stages of the course.
The course also includes a substantial individual project, which develops your ability to engage in independent learning. The project will form the basis of your written dissertations. Other skills that you should develop include the ability to think logically and critically, problem-solving expertise, competent use of relevant software, and effective communication of results.
The MSc Financial and Computational Mathematics is designed for students with a first degree in mathematics or a related subject with substantial mathematical content (e.g. engineering and physics, computer science and economics). If you’re taking this MSc you won’t need a background in finance, just enthusiasm and a willingness to learn the subject.
The following book gives an indication of the level of mathematics required:
- All the Mathematics You Missed (But Need to Know for Graduate School), Thomas A Garrity (CUP).
A basic understanding of the content of chapters 1-3 and 12-16 would be advisable.
- An Introduction to Numerical Analysis, Endre Suli and David Mayers (CUP).
You should be able to understand, with some work (reading maths books is never easy!), chapters 1-2, 6-7 and 11-12. Alternatively, you can use the textbook Numerical Mathematics by Alfio Quarteroni, Riccardo Sacco, Fausto Saleri published by Springer, where you can examine the basics of chapters 1-3, 6, 8-11 and 13.
Probability and Statistics
Applicants should be familiar with elementary probability and statistics. The following are suggested as basic texts for revision purposes:
- Introductory Probability and Statistical Applications, P.L. Meyer
- Probability (first two chapters), A.N. Shirayev
- A First Course in Probability, S.M. Ross
- Probability and Math Statistics, L.D. Taylor
We do not require any prior knowledge of C++. You may however wish to look through any introductory book on C++ such as:
- Guide to Scientific Computing in C++, J.P. Francis and J. Whiteley, J.R. Hubbard
- Schaum's Outline of Programming with C++, J.R. Hubbard
- Schaum's Outline of Fundamentals of Computing with C++ (or the online tutorial)
Likewise, we do not require any prior knowledge of financial mathematics or finance but if you would like to undertake some preliminary reading, you can refer to:
- Stochastic Calculus for Finance, S.E. Shreve (I. Springer, 2004)
- Introductory Course on Financial Mathematics, M.V. Tretyakov (ICP, 2013)
To improve students’ practical skills and knowledge, we run a number of extracurricular activities, which are an integral part of the course. Activities include talks and workshops by our industrial partners as well as in-house training and talks by leading academics in the school.
Take a look at what is happening this current academic year.