Quantitative Finance

Entry requirements

We normally look for a First or Upper Second class honours (2:1) degree from a UK university or the overseas equivalent. You need to have studied or be studying for a degree in finance, economics, mathematics, statistics, physics, engineering, actuarial or decision sciences and have taken or be taking a significant number of units in quantitative subjects, such as differential equations, econometrics or mathematical statistics in the final year of your degree. You need excellent results in these subjects.

Months of entry

September

Course content

This specialist course gives you a thorough understanding of the full range of quantitative methods needed for financial decision making.

You learn to forecast and manage risk and return, price any financial instrument and engineer new methods and financial products. You also gain advanced knowledge of the main theoretical and applied concepts in quantitative finance, financial engineering and risk management, using current issues to stimulate your thinking.

If your career aspirations involve the design and management of new financial instruments as well as the development of innovative methods for measuring, predicting and managing risk, this course is for you.

Course structure (All taught course units are 15 credits)

Semester 1:

• Asset Pricing Theory
• Derivative Securities
• Stochastic Calculus for Finance

One elective unit from:

• Cross-Sectional Econometrics
• Portfolio Investment
• Scientific Computing

Semester 2:

• Credit Risk Management
• Interest Rate Derivatives
• Time Series Econometrics

One elective unit from:

• Computational Finance
• Corporate Finance
• Generalised Linear Models and Survival Analysis
• Real Options in Corporate Finance
• Risk, Performance and Decision Analysis

Summer Research Project (60 credits)

The dissertation gives you the opportunity to apply what you have learned in the taught part of the course. Our topics are aligned with the research interests of leading financial institutions from the City of London and internationally. Students who want to work on an industry-linked topic for their dissertation are subject to certain strict selection criteria (for example, quality of research proposal, strong CV and first semester exam performance).

Examples of recent dissertation projects include:

• Approximation of CVA/DVA/FVA
• FVA and MM – quantitative analysis/illustration
• Continuous rainbow options on commodity outputs
• Investigating dynamics and determinants of risk-neutral PDs
• Using hazard models to forecast corporate bankruptcy
• Analysing asset pricing implications from real options models
• Pricing sovereign CDS contracts
• Estimating liquidation probabilities

Information for international students

IELTS 7.0 or TOEFL 100 internet-based. English language test results submitted must be less than two years old. See the website for more information.

Fees and funding

Alliance MBS Scholarships are also available - contact the Admissions Office for details and visit the Alliance MBS website for further details.

Qualification and course duration

MSc

Course contact details