ObjectivesThis programme provides an introduction to mathematical finance and preparation for advanced work in the field, with teaching staff who are working at the cutting edge of research. No prior knowledge of mathematical finance is assumed, and the programme offers intensive introductions to the essentials of the subject. It can be taken either as a stand-alone programme, which will prepare you for quantitative roles within the financial sector, or as preparation for entry onto one of our MSc programmes. The aim is to provide you with a thorough grounding in the fundamental ideas and methods of modern mathematical finance, including practical applications in financial engineering. You will also be provided with the necessary mathematical and statistical toolkit for studying this subject – with pre-sessional courses beginning in late September – and introduced to the interpretation and analysis of data. The course aims to provide: knowledge of standard methods and analytical tools of univariate and multivariate calculus; using mathematics to model problems in the natural and social sciences, and to validate and revise such models if necessary; an introduction to the basic principles of finance: the key pricing models; corporate finance and market efficiency; an introduction to the interpretation and analysis of economic data; knowledge of the fundamental probability theory of mathematical finance; for those students not proceeding to an MSc, consolidated knowledge of fundamental principles of applied mathematical finance, i.e. financial engineering.
Entry requirementsEntry to the Programme GDFE has no fixed entry requirements, but students should have sufficient preparation to study mathematical material at advanced undergraduate level. Students possessing a degree in an intensive mathematical subject at a level corresponding to a 2.I British Honours degree should apply to MSc Financial Engineering. Typical backgrounds for GDFE would be (i) a degree in a mathematical subject (e.g. mathematics, physics or some economics and computer science degrees) that is either below 2.I level, or was taken many years in the past; (ii) a degree with some mathematical content, such as some economics, management and computer science degrees, that is insufficient for postgraduate mathematical study. We may also accept students from different backgrounds with suitable work experience.
Course descriptionThe pre-sessional Mathematics course commences in September, for a series of five lectures starting at 6pm. It is highly recommended that students who have only a basic knowledge of mathematics, or have not used their mathematical skills for sometime, attend the entire course. However, it is essential that all students attend the first lecture of this course.
Students taking two-years follow the Quantitative Techniques and the Applied Statistics & Econometrics modules in the first year, and the other three modules in the second year.
Students who do not achieve a sufficient standard to continue to the second year, or those students who find they are unable or unwilling to proceed for other reasons, may be award a Graduate Certificate in Quantitative Methods for Economics and Finance.
Students who wish to enter MSc Financial Engineering must obtain a Merit in the programme overall.
Course assessment
For most course units, you will do coursework and sit exams. The relative weights of these components toward your mark for the course unit will vary from unit to unit and you will be given this information on the individual unit syllabus/reading list. You should also take care to note the deadlines for submission of coursework and realise that there are penalties for late submission.
There are several types of coursework that you will be asked to produce in your degree. The particular type of coursework assignments will vary from unit to unit, so you will need to pay close attention to the instructions given by the lecturer. Some examples of the types of coursework assignments that you will be expected to produce are given below.
Essays: You may be asked to write brief essays on particular questions.
Problem Solving: Course units involving quantitative techniques are likely to involve exercises designed to test your ability to apply these techniques to solve problems.
In-Class and Mid-Term Tests: these are like mini-exams.
-Quantitative Techniques for Financial Engineering
-Applied Statistics and Econometrics
-Financial Markets
-Computational Techniques for Financial Engineering
-Introduction to Mathematical Finance.