Financial Mathematics

Entry requirements

• A 2:2 (or above) UK Honours degree, or equivalent internationally recognised qualification, in Mathematics.
• Applications from candidates with degrees in related subjects with a substantial mathematical component (such as Physics, Engineering, Chemistry, or Economics) may be considered on an individual basis.
• Other qualifications with relevant work experience may also be considered.

Months of entry

September

Course content

Mathematical finance is an area of applied mathematics where concepts and techniques that lie close to the heart of pure mathematics are applied routinely to solve a great variety of important practical problems arising in the day-to-day business of the world's financial institutions.

The objective of the Brunel MSc in Financial Mathematics is to guide students through to a mastery of the sophisticated mathematical ideas underlying modern finance theory, along with the associated market structures and conventions, with emphasis on:

• the modelling of the dynamics of financial assets, both in equity markets and in fixed-income markets
• the pricing and hedging of options and other derivatives, and
• the quantification and management of financial risk.

Candidates are also provided with the means to master the numerical and computational skills necessary for the practical implementation of financial models, thus enabling you to put theory into practice and putting you in a good position to carry out work for a financial institution. We therefore offer a programme that provides a balanced mixture of advanced mathematics (including modern probability theory and stochastic calculus), modern finance theory (including models for derivatives, interest rates, foreign exchange, equities, commodities, and credit), and computational technique (GPU-based high-performance computing).

The MSc in Financial Mathematics offers a range of exciting modules during the Autumn and the Spring terms, followed by an individual research project leading to a dissertation that is completed during the Summer term.

Aims

Financial mathematics is a challenging subject, the methods of which are deployed by sophisticated practitioners in financial markets on a daily basis. It builds on the application of advanced concepts in modern probability theory to enable market professionals to tackle and systematically resolve a huge range of issues in the areas of pricing, hedging, risk management, and market regulation. The main objective of the Brunel MSc in Financial Mathematics is to provide candidates with the knowledge they need to be able to enter into this exciting new area of applied mathematics and to position themselves for the opportunity to work in financial markets.

Among the main distinguishing features of our programme are the following:

• We aim to teach the key ideas in financial asset pricing theory from a thoroughly modern perspective, using concepts and methods such as pricing kernels, market information filtrations, and martingale techniques, as opposed say to the more traditional but old-fashioned approach based on the historical development of the subject.
• In our programme candidates are asked at each stage to undertake a critical re-examination of the hypotheses implicit in any financial model, with a view to gaining a clear grasp of both its strengths and its limitations.
• The programme includes courses on high-performance computing that provide candidates with the techniques whereby financial models can be implemented.

By the end of the year students will gain familiarity with a range of highly relevant topics, including:

• Financial market conventions
• Derivative market structures
• Stochastic calculus
• Option pricing and hedging
• Interest rate theory
• Dynamic portfolio theory
• Market information and price formation
• Credit risk management
• Numerical implementation of financial models
• High-performance computing

Information for international students

English language requirements

• IELTS: 6 (min 5.5 in all areas)
• Pearson: 51 (51 in all subscores)
• BrunELT: 60% (min 55% in all areas)

Fees and funding

Learn more at the postgraduate funding page.