University of Birmingham

Master in Mathematical Finance - Máster en Finanzas Matemáticas

University of Birmingham
  • Imparte:
  • Modalidad:
    Presencial en Birmingham
  • Precio:
    £16,920 (Home/EU) / £16,920 (Overseas)
  • Comienzo:
    Septiembre 2017
  • Lugar:
    Birmingham B15 2TT
    Reino Unido
  • Duración:
    1 Año
  • Idioma:
    El Curso se imparte en Inglés
  • Titulación:
    Mathematical Finance MSc.

Presentación

This programme, taught jointly by the School of Mathematics and the Department of Economics, provides the skills that will enable technically able graduates (including in mathematics, science and engineering) to apply their quantitative training to financial analysis.

Requisitos

A good Honours first degree (or overseas equivalent) in Mathematics or a related numerate subject such as Physics or Engineering, or an appropriate Joint Honours degree in industrial mathematics.

Good students whose undergraduate degree did not prepare them sufficiently for the MSc mathematics, may wish to consider the School of Mathematics Pre-Masters Certificate in Mathematics. Students attaining an average of at least 60% qualify for the MSc in the following year; those attaining 64% or higher qualify for a 20% fee discount on the MSc.

International students: We accept a range of qualifications from different countries.

English language requirements: Non-native speakers of English can find our English language requirements listed under Business. Applicants who have studied in English at the university level do not need to provide further evidence of proficiency. The University of Birmingham offers pre-sessional English courses for students wishing to improve their English before beginning their academic studies.

Programa

The programme comprises 180 credits in total (credits are given in brackets).

Term 1 (October – December)
Core Modules:

Econometrics with Financial Applications (15 - Term 1): forecasting; stochastic volatility; ARCH; GARCH; co-integration; statistical-arbitrage; non-stationarity; unit roots
Introduction to Quantitative Finance (10): options pricing; Black-Scholes; European and American options; exotic options; fixed income; binomial method; random walks
C++ for Finance (10 - Term 1): valuation system, simulation, polymorphic factory, design patterns, Boost library
Computational Methods and Programming (20)

Optional Modules:

International Banking and Finance (20)
Macroeconomics (20): Economic growth, consumption, investment, exchange rates, interest parity conditions, overshooting, speculative attacks, inflation, monetary policy.
Nonlinear Programming I (10): Optimality condition; convex set and convex function; duality theory; unconstrained optimization; constrained optimization; conjugate gradient algorithms; Newton-type algorithms; interior point algorithms; Lagrangian methods.
Topics in Money and Banking (10)
Integer Programming (10): Alternative formulations; optimality; relaxation; primal and dual bounds; total unimodularity; cut-plane algorithm; branch and bound method; network flow problems; knapsack problems; matching problem; assignment problem; set covering problem
Game Theory (10)
Conic Optimization (10)
Multicriteria Decision Making (10)
Statistical Methods in Finance and Economics (10 - Term 1)

Relevant modules for those without all the requisite undergraduate mathematics training include: PDEs, Transform Theory, and Complex Variable Theory for Physicists. Graduate modules offered elsewhere in the University may also be taken with the Programme Director´s approval.

Term 2 (January - March)
Core Modules:

Econometrics with Financial Applications (15 - Term 2): forecasting; stochastic volatility; ARCH; GARCH; co-integration; statistical-arbitrage; non-stationarity; unit roots
Exotic options, bonds and further quantitative finance (10): options pricing; Black-Scholes; European and American options; exotic options; fixed income; binomial method; random walks
C++ for Finance (10 - Term 2): valuation system, simulation, polymorphic factory, design patterns, Boost library
Risk Analytics (10): copulas; Value-at-Risk; expected shortfall (cVaR); mean-variance portfolio optimization; PCA; stress testing; Black-Litterman; live trading

Optional Modules:

Non-Linear Programming II (10): Optimality condition; convex set and convex function; duality theory; unconstrained optimization; constrained optimization; conjugate gradient algorithms; Newton-type algorithms; interior point algorithms; Lagrangian methods.
Combinatorial Optimisation (10): Alternative formulations; optimality; relaxation; primal and dual bounds; total unimodularity; cut-plane algorithm; branch and bound method; network flow problems; knapsack problems; matching problem; assignment problem; set covering problem
Advanced quantitative finance: crashes, volatility, multiple assets and hedging (10): crashes; volatility modeling; multi-asset options; hedging; liquidity; asset allocation; stochastic control; historical lessons; Monte Carlo
Heuristic Optimisation (10): Exhaustive search; tapu-search, local search; greedy algorithms; dynamic programming; computer simulation; evolutionary Algorithms.
Experimental and Behavioural Economics (10)
Further Mathematical Finance (10)
Topics in Management Mathematics (10)
Statistical Methods in Finance and Economics (10 - Term 2)

Relevant modules for those without all the requisite undergraduate mathematics training include: Numerical Methods in Linear Algebra, Programming. Graduate modules offered elsewhere in the University may also be taken with the Programme Director´s approval.

Term 3 (May - June)

Examination Period
July - September
Dissertation (40)

Students are encouraged to pursue internships while writing their dissertations.

Salidas profesionales

Graduates from this MSc programme will be well prepared to compete for quantitatively demanding positions in financial institutions. The degree should also prepare them for postgraduate research, either for purely academic ends or to further qualify them for work in financial institution.

Destinations of recent graduates include Bank of America/Merrill Lynch, BNP Paribas, China Jianyin Investment Securities, Deutsche Bank, the FSA, LGIM, Société Générale and wonga.com.

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