Mathematical Trading & Finance – (M.Sc.)

Contents

We review all our courses regularly to keep them up-to-date on issues of both theory and practice. Consequently, there may be some change to the detailed content of the modules and occasionally to module titles.

To satisfy the requirements of the degree programme students must complete:

• nine core courses

and

• five electives

or

• one elective and a Business Research Project

The MSc in Mathematical Trading & Finance starts with two compulsory induction weeks, mainly dedicated to:

• an introduction to careers in finance and the opportunity to speak to representatives from over 75 companies during a number of different industry specific fairs.
• a refresher course of advanced financial mathematics, statistics, computing and electronic databases

Four core modules (30 hours each)

Derivatives 1 - (Part-time Year 1)

This core module provides a solid foundation in the study of forwards, futures and swaps. It takes a practical, hands-on approach in which dealing room sessions enable students to familiarise themselves with market practice.

Mathematical Finance and Stochastic Calculus - (Part-time Year 1)

This core module provides a thorough and rigorous treatment of the modern mathematical tools used in modelling and valuation of financial derivative products. The module presents the development of the central theoretical arguments and the specialised quantitative methods in a unified way. It also covers the modelling of uncertainty and information revelation in discrete and continuous-time pricing models using stochastic processes and the analytical derivation of the Black and Scholes/Harrison and Kreps continuous-time contingent claims pricing framework.

Advanced Financial Econometrics - (Part-time Year 2)

This core module provides an extended presentation of the econometric techniques that have been developed in the past decade to model the main characteristics of financial time series. The theory is complemented with an empirical investigation of the term structure of interest rates and bond markets, the foreign exchange market and equity markets.

Quantitative Asset Pricing - (Part-time Year 2)

This core module provides a thorough understanding of recent advances in cash securities valuation and management. It presents a unified approach to portfolio and risk theory, and aids the theoretical foundation of investment and risk management strategies.

Four core modules (30 hours each)

Derivatives 2 - (Part-time Year 1)

This core module provides a rigorous foundation in the pricing of equity derivatives beyond the standard Black and Scholes framework. American and Bermudan-type of early exercise is analysed, cash flows in the form of dividends are incorporated, stochastic interest rates, volatility and jump diffusion models are thoroughly examined, volatility smiles and surfaces are introduced in the valuation process. Exotic equity options like Barrier, Compound, Chooser, Asian, and Lookback are both priced and hedged.

Numerical Methods in VBA - (Part-time Year 1)

This core module covers the computational aspects of complex valuation problems analysed in the mathematical finance and derivatives modules. It provides advanced modelling in Finance using Excel and VBA and places particular emphasis on the following applications: Binomial and Trinomial Trees; Monte Carlo simulation; finite difference methods; methods of free boundaries; implied volatility trees; and lattice methodologies for exotic options.

Risk Analysis and Modelling - (Part-time Year 2)

This core module examines the various types of financial risk such as market risk, credit risk, liquidity risk, model risk, volatility risk and kurtosis risk. Covers risk measurement techniques for different types of portfolios (equity, fixed income and currency) such as duration, portfolio beta, factor sensitivities, value-at-risk, dynamic portfolio distribution analysis, and extreme value analysis. Examines popular credit risk models such as CreditMetrics, CreditRisk+, CreditPortfolio View.

Structured Equity and Energy Derivatives - (Part-time Year 2)

The first part of this core module advances an engineering approach to the design of equity products that allows students to create their own derivatives solutions to an endless variety of problems. Structured equity notes and equity-linked securities are increasingly used for the management of exposure to a large variety of risks, the enhancement of yields or the reduction of funding costs, the exploitation of the tax, accounting and regulatory environment. The second part deals with modelling energy prices (oil, gas, electricity), the construction of energy forward curves and the valuation of exotic energy derivatives.

Five electives (18 hours each)

OR

One elective and a Business Research Project

Electives

You may choose from a wide variety of electives. For example:

• Advanced Financial Engineering and Credit Derivatives
• Fixed Income Arbitrage and Trading
• Advanced Options Trading
• Trading and Hedging in the Foreign Exchange Market
• Advanced Financial Modelling and Forecasting
• Technical Analysis and Trading Systems.
• Mergers, Acquisitions and Divestments
• Finance in Emerging Markets
• Behavioural Finance
• Market Microstructure and High Frequency Econometrics
• Matlab
• Private Equity Investment

Research Methods module

This compulsory module trains students to undertake independent research either in the context of a single organisation or by using third-party sources. It provides the necessary tools and skills to initiate, research and write up a business project and includes training in research methodology, availability of data sources, project writing, time-management and presentation skills. These skills will be invaluable to students in their future career whether or not they choose to complete a project.

Accreditation

An integral part of City University London, Sir John Cass Business School is among the global elite of business schools that hold the gold standard of 'triple-crown' accreditation from the Association to Advance Collegiate Schools of Business (AACSB), the Association of MBAs (AMBA) and the European Quality Improvement System (EQUIS). We are consistently ranked amongst the best business schools and programmes in the world which, coupled with an established 40-year reputation for excellence in research and business education, enables us to attract some of the best academics, students and businesses worldwide into our exclusive Cass network.