University of Edinburgh

University of Edinburgh

Computational Mathematical Finance

This course aims to provide students with solid knowledge in financial derivative pricing; risk management; and portfolio management.

Entry requirements

The minimum entry requirement is a UK 2.1 degree, or its international equivalent, in mathematics or a mathematical subject such as statistics, physics or engineering. Relevant programming experience is considered essential. If English is not the 1st language, applicants must have 1 of the following qualifications as evidence of their spoken and written English: IELTS Academic: total 6.5 (at least 6.0 in each module); TOEFL-iBT: total 92 (at least 20 in each module); PTE(A): total 61 (at least 56 in each of the "Communicative Skills" sections); CAE and CPE: total 176 (at least 169 in each module).

Course modules

There are 2 streams: the financial stream and the computational stream. Compulsory courses (both streams): stochastic analysis in finance (20 credits, semester 1); discrete-time finance (10 credits, semester 1); finance, risk and uncertainty (10 credits, semester 1); object-oriented programming with applications (10 credits, semester 1); risk-neutral asset pricing (10 credits, semester 2); stochastic control and dynamic asset allocation (10 credits, semester 2); Monte Carlo methods (5 credits, semester 2); research-linked topics (10 credits, semesters 1 and 2). Optional courses: computational stream: numerical methods for stochastic differential equations [compulsory] (5 credits, semester 2); numerical partial differential equations [compulsory] (10 credits, semester 2); programming skills - hpc msc (10 credits, semester 1); parallel numerical algorithms - hpc msc (10 credits, semester 1). Optional courses. Financial stream: financial risk theory [compulsory] (10 credits, semester 2); optimization methods in finance [compulsory] (10 credits, semester 2); advanced time series econometrics (10 credits, semester 2); credit scoring (10 credits, semester 2); computing for operational research and finance (10 credits, semester 1); financial risk management (10 credits, semester 2); stochastic optimization (5 credits, semester 2).

Assessment methods

Dissertation.

Qualifications

Qualification Study mode Start month Fee Course duration
MSc Full-time September 2016 GBP 20,700 per Year 1 (England) 1 years
MSc Full-time September 2016 GBP 24,100 per Year 1 (International) 1 years
MSc Full-time September 2016 GBP 20,700 per Year 1 (Northern Ireland) 1 years
MSc Full-time September 2016 GBP 20,700 per Year 1 (Scotland) 1 years
MSc Full-time September 2016 GBP 20,700 per Year 1 (Wales) 1 years
MSc Part-time September 2016 GBP 10,350 per Year 1 (England) 2 years
MSc Part-time September 2016 GBP 12,050 per Year 1 (International) 2 years
MSc Part-time September 2016 GBP 10,350 per Year 1 (Northern Ireland) 2 years
MSc Part-time September 2016 GBP 10,350 per Year 1 (Scotland) 2 years
MSc Part-time September 2016 GBP 10,350 per Year 1 (Wales) 2 years
PgDip Full-time September 2016 GBP 20,700 per Year 1 (England) 1 years
PgDip Full-time September 2016 GBP 24,100 per Year 1 (International) 1 years
PgDip Full-time September 2016 GBP 20,700 per Year 1 (Northern Ireland) 1 years
PgDip Full-time September 2016 GBP 20,700 per Year 1 (Scotland) 1 years
PgDip Full-time September 2016 GBP 20,700 per Year 1 (Wales) 1 years
PgDip Part-time September 2016 GBP 12,050 per Year 1 (International) 2 years
PgDip Part-time September 2016 GBP 10,350 per Year 1 (Northern Ireland) 2 years
PgDip Part-time September 2016 GBP 10,350 per Year 1 (Scotland) 2 years
PgDip Part-time September 2016 GBP 10,350 per Year 1 (Wales) 2 years
PgDip Part-time September 2016 GBP 10,350 per Year 1 (England) 2 years

Campus details

Campus name Town Postcode Region Main campus Campus Partner
University of Edinburgh Edinburgh EH8 9JU Scotland

Get in touch

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Key information

Contact: 
Programme Secretary
Telephone number: 
0131 650 4885