Brunel University – MSc Financial Mathematics

MSc Financial Mathematics

Mathematical finance is an area of applied mathematics where concepts and techniques that lie close to the heart of pure mathematics are applied routinely to solve a great variety of important practical problems arising in the day-to-day business of the world’s financial institutions.

The objective of the Brunel MSc in Financial Mathematics is to guide students through to a mastery of the sophisticated mathematical ideas underlying modern finance theory, along with the associated market structures and conventions, with emphasis on:

• the modelling of the dynamics of financial assets, both in equity markets and in fixed-income markets
• the pricing and hedging of options and other derivatives, and
• the quantification and management of financial risk.

Candidates are also provided with the means to master the numerical and computational skills necessary for the practical implementation of financial models, thus enabling you to put theory into practice and putting you in a good position to carry out work for a financial institution. We therefore offer a programme that provides a balanced mixture of advanced mathematics (including modern probability theory and stochastic calculus), modern finance theory (including models for derivatives, interest rates, foreign exchange, equities, commodities, and credit), and computational technique (GPU-based high-performance computing).

Course Content

Year 1

• Probability and Stochastics
• Financial Markets
• Option Pricing Theory
• Interest Rate Theory
• Financial Computing I
• Dissertation
• Optional Module:
  • Portfolio Theory
  • Information in Finance with Application to Credit Risk Management
  • Mathematical Theory of Dynamic Asset Pricing
  • Financial Computing II
  • Statistics for Finance

The job of a financial mathematician is not to predict prices but instead to relate the movements of price in one asset to that of another.

Mark Joshi

Entry Requirements (International Students)

• Bachelor Degree Diploma GPA 70% over 100%.
• English Language Requirements: IELTS 6.0 (min 5.5 in all bands)
• 2 Academic Reference Letters
• Statement of Purpose (Motivation Letter)