MSc Financial Mathematics

About the MSc programme

This programme is based in the Department of Mathematics|, and is taught in collaboration with the Department of Finance| and the Department of Statistics. The programme provides high level instruction in the mathematical theory underlying finance, and training in appropriate computational methods. It offers the following benefits:

• Study in a leading university, internationally renowned for its research and teaching programmes.
• Focus on the development of student understanding of quantitative methodologies and techniques that are important for a range of jobs in investment banks and other financial institutions.
• Research-led teaching that aims at enhancing students' critical appreciation of major issues and emerging theory in the area of financial mathematics.
• Preparation for a range of careers in the financial sector, industry and research.
• Opportunity to improve personal skills, including logical reasoning, quantitative analysis, independent learning and the presentation of technical results.  

This programme aims to develop students' understanding of the foundations of financial mathematics, and to equip them with knowledge of a range of mathematical and computational techniques that are required for a variety of quantitative positions in the financial sector.

It draws on LSE's strengths in finance and related areas, and includes compulsory and optional courses given by the Department of Mathematics, the Department of Finance and the Department of Statistics.

This MSc is mathematically advanced, and applicants should have a very strong mathematics background and a minimum of a BSc degree of first or good upper-second class in mathematics or a mathematics-based subject, or an equivalent qualification. Prior knowledge of finance or computing is not required.

The programme starts with a compulsory pre-sessional course, the purpose of which is to introduce some key concepts and techniques of relevant mathematical theory, such as probability. The pre-sessional course also includes an introduction to programming in C++.

Students are required to take courses to the value of four full units: this usually equates to approximately 12 contact hours per week in the two main teaching terms (depending on the course modules chosen - there may be some variety of practice depending on which department teaches the course). Lecturers also offer weekly office hours.

Compulsory courses

(* half unit)

• The Mathematics of the Black and Scholes Theory*
• The Foundations of Interest Rate, Foreign Exchange, and Credit Risk Theory*
• Stochastic Processes*
• Fixed Income Markets*
• Computational Methods in Finance*

Options

Choose to a total of one and half units:

At least one from:

• Computational Learning Theory and Neural Networks*
• Game Theory I*
• Algorithms and Computation*
• Continuous-Time Optimisation*
• Information, Communication and Cryptography*
• Probability and Measure*
• Stochastic Analysis*
• Preferences, Optimal Portfolio Choice, and Equilibrium*
• Search Games*

Up to two from:

• Financial Risk Analysis*
• Forecasting Financial Time Series*
• Derivatives*
• Quantitative Methods for Finance and Risk Analysis*
• Portfolio Management*
• International Finance*
• Principles of Finance
• Time Series*
• Any other course, with the agreement of the course lecturer and the programme director