Through MISCADA’s FinMath specialisation, students will be introduced to the mathematical principles behind modern financial markets. Financial mathematics draws on tools from probability theory, statistics, partial differential equations, and scientific computing, and is widely used in investment banks, hedge funds, insurance companies, corporate treasuries, and regulatory agencies to solve such problems as derivative pricing, portfolio selection, and risk management.
The FinMath specialisation has a very strong mathematical flavour and educates students who will later on work within the quantitative divisions of fintech companies. To succeed, you need a very strong mathematical background (BSc in maths in recommended).
In term 1, students on the FinMath specialization will study our MATH52230 module. This module introduces fundamental ideas of mathematical finance, such as financial derivatives and markets, self-financing portfolios, and arbitrage-free pricing. These ideas will be used to price financial products in both discrete-time and continuous-time markets, using both theoretical and computational approaches, such as Monte Carlo or other numerical methods. The theory includes an introduction to the tools of stochastic calculus and other essential ideas from probability theory, such as martingales.
In term 2, students will continue their financial theory education and select modules from our Core II methodological core. While students are free to choose any combination from this list, we do recommend them to focus on the statistics modules, as computational statistics has an important role in the financial industry.
To prepare for this specialisation area, we recommend consulting An Introduction to Financial Option Valuation by D. Higham for an overview of some relevant financial concepts and models, and Introduction to the Mathematics of Finance by R. Williams for a thorough mathematical treatment. Both of these books will also serve as good companions to MATH52230. A full reading list will be provided once term starts.