MATHEMATICS  OF  FINANCE

 

Dept. of Mathematics & Applied Mathematics

& 

Dept. of Statistical Sciences

  Mathematics Building

Σ   Departmental Home Page

Jameson Steps

 UCT Home Page

Career Opportunities

About the MSc  Programme

Programme Structure

Staff

Curriculum

Entrance Requirements

Fees

Student Handbook

Deadlines

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The end of the 20th century saw an enormous expansion of the global finance industry. This was accompanied by an equally dramatic development of mathematical and statistical techniques required to manage financial risk. One of the most significant developments, for example, has been the gigantic increase in the volume of trade in financial derivatives.

Derivatives are essential tools to manage and transfer risk, and are therefore of great importance in trading, insurance and portfolio management. Today, there are many sophisticated derivative products, and contracts worth trillions of dollars are negotiated every year.

Derivatives are so named because they are derived from an underlying asset, and this dependence is amenable to mathematical analysis and the determination of derivative prices involves significant mathematical modeling and computation. One essential ingredient for the growth of this area has been the introduction of sophisticated mathematical tools for the pricing of such derivatives, such as the Black-Scholes theory of option pricing.  (See here for a set of slides that introduce some of the basic mathematical ideas that underpin derivatives pricing).

Derivative pricing is but one aspect of financial mathematics. Currently one of the fastest growing branches of applied mathematics, it is a broad multidisciplinary subject that draws on techniques from applied mathematics, probability theory, statistics, computer science and financial economics. Today, the financial mathematics toolbox is indispensable to investment banks, insurance companies, corporate treasuries, hedge funds and regulatory agencies, who apply it to risk management, structuring financial products, optimizing the risk-return ratio of portfolios, and asset pricing.

 

For more information on the MSc programme,

please e-mail Di Loureiro (Administrative Manager).

Please be aware that all applications for study in 2008 are/were due by 31 October 2007

Former sponsors

       

1. Career Opportunities 

The increasing sophistication of financial activity has been accompanied by a corresponding growth in the employment of quantitative analysts ("quants") and financial engineers, typically graduates in mathematics and related disciplines. A thorough understanding of the mathematics of financial modelling and asset pricing is essential to manage financial risks of all kinds, as well as  for the construction of new products on which financial institutions depend to give them a competitive edge in the market. Creating and managing these products requires people with mathematical expertise and has opened up new and lucrative career prospects for those with high levels of mathematical sophistication. Today, investment banks, insurers and financial service providers are amongst the largest employers of people with advanced qualifications in mathematics and statistics outside academia.

 

2. About the Programme

This two-year course is jointly offered by the Department of Statistical Sciences and the Department of Mathematics and Applied Mathematics. It offers intensive training in the quantitative tools and techniques required by the finance industry, and provides the sound conceptual foundations needed for the development of original financial applications and products. Simultaneously, background theory in finance is also taught. The course is aimed at students who want to become market professionals, and the degree is intended to be a professional qualification, and not merely an academic one. It is therefore suitable for those who have good mathematics and communication skills, and who desire for a challenging career in a dynamic and competitive industry.

The programme aims to equip students with a sound grasp of:

 

3. Programme Structure 

The course consists of two equally weighted components: 11 taught modules (to be completed in the first year of registration) and a research dissertation (in the second). 

          The following modules are currently being offered :

In addition, a dissertation must be completed in the second year. The dissertation is perhaps the most important aspect of the course, allowing students to go beyond the coursework material, and preparing them for research. Students will be required to tackle a real-life problem in financial mathematics, making full use of their mathematical and computational skills. They will be encouraged to approach experts in the finance industry for dissertation topics (to ensure that these are relevant and applicable) and supervision.

During the first year, full-time attendance is mandatory. However, the second year allows for more flexibility: It will be possible (and even be desirable) for students to work, ideally in the finance industry, while completing their dissertation.

More information about the programme structure may be found in the Student Handbook 2008  (see also Curriculum).

 

4. Entrance Requirements 

This programme is intended to be multidisciplinary in nature, and has been designed to accommodate students from a wide variety of backgrounds. The following should qualify a student for entrance:

All prospective students will be assessed by the programme coordinator

 

5. Fees 

The new fees for all coursework/dissertations MSc's in the faculty of Science are as follows: