MSc in Mathematical Finance

Programme Director

Professor Goran Peskir

Goran.Peskir [at] manchester.ac.uk

+44 (0)161 306 3215

Admission Officer

Dr Jonathan Bagley

Jonathan.Bagley [at] manchester.ac.uk

+44 (0)161 306 3662

Degree awarded: Master of Science (Mathematical Finance)

Duration: 12 months (full time) starting in September 2012

Programme overview

The School of Mathematics and the Manchester Business School at the University of Manchester have combined their academic strength and practical expertise to deliver the MSc in Mathematical Finance, ensuring that students can experience both the mathematical and economic perspective of the subject.

This is also supported by invited lectures from senior staff members of leading financial institutions and outstanding mathematicians who are internationally recognised for contributions to Mathematical Finance. Most recent lectures include:

Professor M. Schweizer (ETH Zurich and Swiss Finance Institute)
An overview of quadratic hedging and related topics

Professor H. Follmer (Humboldt University of Berlin)
Monetary valuation of cash flows under Knightian uncertainty

Professor M. H. A. Davis (Imperial College London)
Contagion models in credit risk

The programme provides students with advanced knowledge and understanding of the main theoretical and applied concepts in Mathematical Finance delivered from a genuinely international and multi-cultural perspective with a current issues approach to teaching. The focus of the programme is on mathematical theory and modelling, drawing from the disciplines of probability theory, scientific computing and partial differential equations to derive relations between asset prices and interest rates, and to develop models for pricing, risk management and financial product development.

The finance industry demands recruits with strong quantitative skills and this programme is intended to prepare students for careers in this area. The programme provides training for those who seek a career in the finance industry specialising in derivative securities, investment, risk management and hedge funds. It also provides research skills for those who subsequently wish to pursue research and/or an academic career (e.g. university lecturer) or continue the study at doctoral level, particularly those wishing to pursue further and advanced studies in Mathematical Finance.

Programme structure

There are (i) eight course units to attend over two academic terms and (ii) a dissertation project to be completed in the third term. Teaching of the course units is shared by the School of Mathematics and the Manchester Business School and delivered through lectures, case studies, seminars and group project-based work.

First term course units (autumn):: Derivative Securities; Foundations of Finance Theory; Martingales with Applications to Finance; Stochastic Calculus.
Second term course units (spring):: Brownian Motion; Computational Finance; Financial Econometrics; Stochastic Modelling in Finance.
Third term dissertation project (summer):: In this term students will conduct an original study of a topic relating to the programme and write an MSc dissertation. Our MSc dissertation topics are aligned with the research interests and needs of leading financial institutions from the City of London and internationally. Some of the organisations offering topics leading to dissertations in the past have included:

Entry requirements

We normally look for a good upper second class honours degree, or the overseas equivalent, in Mathematics, Physics, Engineering or another subject, including Finance or Economics, with substantial mathematical content and high marks in mathematical and quantitative subjects.

Students whose first language is not English require a minimum IELTS score of 6.5 with at least 6.5 in writing and 5.5 in each other component, or 90 for the internet based TOEFL with no component score lower than 23.

Fees and funding

The tuition fees for entry in September 2012 are £17,200 per annum for both (i) UK/EU students and (ii) international students. Information on possible scholarships/sponsorships is available here.

How to apply

To apply online click here. The closing date for applications is 31 July 2012.