MSc in Mathematical and Computational Finance | University of Oxford
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MSc in Mathematical and Computational Finance

About the course

The course provides you with a strong mathematical background with the skills necessary to apply your expertise to the solution of real finance problems. You will develop skills so that you are able to formulate a well posed problem from a description in financial language, carry out relevant mathematical analysis, develop and implement an appropriate numerical scheme and present and interpret these results.

The course lays the foundation for further research in academia or for a career as a quantitative analyst in a financial or other institution.

You will take three introductory courses in the first week. The introductory courses cover partial differential equations, probability and statistics and MATLAB.

The first term focuses on compulsory core material, offering 80 hours of lectures and 40 hours of classes/practical. The core courses are as follows:

  • Stochastic Calculus
  • Financial Derivatives
  • Numerical methods I - Monte-Carlo
  • Numerical methods I - Finite Differences
  • Statistics and financial data analysis
  • Financial Programming with C++ 1

In the second term, three streams are offered; each stream consists of 32 hours of lectures and 16 hours of classes/practical. The Tools stream is mandatory and you will also take either the Modelling stream or the Data-driven stream.

Modelling stream

  • Exotic derivatives
  • Stochastic volatility, jump diffusions
  • Commodities
  • Fixed income
  • Credit derivatives

Data-driven stream

  • Asset pricing and inefficiency of markets
  • Market microstructure and trading
  • Algorithmic trading
  • Advanced financial data analysis
  • Econometrics of volatility
  • Machine learning

Tools stream

  • Numerical methods 2 - Monte Carlo methods
  • Numerical methods 2 - Finite differences
  • Calibration
  • Optimisation
  • Introduction to stochastic control

As well as the streams, the course includes a compulsory one-week (24 hours of lectures) intensive module on quantitative risk management which is to be held in/around the week before the third term.

The third term is dedicated to a dissertation project which is to be written on a topic chosen in consultation with your supervisor.

The second component of the financial computing course, Financial Computing with C++ 2 (24 hours of lectures and practicals in total), is held shortly after the third term.

The examination will consist of the following elements:

  • two written examinations and one take-home project, each of two hours' duration - the written examinations will cover the core courses in mathematical methods and numerical analysis
  • a written examination on the Modelling stream or a written examination and a computer-based practical examination on the Data-driven stream
  • a written examination assessing the Tools stream
  • a take-home project assessing the course in quantitative risk management
  • two practical examinations assessing two courses in financial computing with C++.

Graduate destinations

MSc graduates have been recruited by prominent investment banks and hedge funds. Many past students have also progressed to PhD-level studies at leading universities in Europe and elsewhere.

Related courses

Changes to the course

The University will seek to deliver this course in accordance with the description set out in this course page. However, there may be situations in which it is desirable or necessary for the University to make changes in course provision, either before or after registration. For further information, please see our page on changes to courses.

Entry requirements for entry in 2017-18

Within equal opportunities principles and legislation, applications will be assessed in the light of an applicant’s ability to meet the following entry requirements:

1. Academic ability

Proven and potential academic excellence

Applicants are normally expected to be predicted or have achieved a first-class or strong upper second-class undergraduate degree with honours (or equivalent international qualifications), as a minimum, in mathematics or a related discipline. 

Applicants should have a background in probability, statistics, ordinary and partial differential equations, linear algebra and analysis. They must demonstrate their aptitude for, and knowledge of, mathematics, particularly in the area of real analysis, through their performances in the admissions test and at interview. Applicants with undergraduate degrees that are not purely mathematical will still be expected to demonstrate they have sufficient knowledge to perform well on the course.

For applicants with a degree from the USA, the minimum GPA sought is 3.6 out of 4.0.

If you hold non-UK qualifications and wish to check how your qualifications match these requirements, you can contact the National Recognition Information Centre for the United Kingdom (UK NARIC).

No Graduate Record Examination (GRE) or GMAT scores are sought.

Other appropriate indicators will include:

Supporting documents

You will be required to supply supporting documents with your application, including references and an official transcript. See 'How to apply' for instructions on the documents you will need and how these will be assessed.

Performance at interview(s)

Technical interviews are normally held as part of the admissions process.  

If invited you can expect to be interviewed by at least two people. The interview could take place face-to-face or by Skype. These will be around 30 minutes in length, and comprise of a series of technical questions.

Interviews are held around three weeks after the relevant application deadline, depending on the availability of interviewers.

Publications

Publications are not expected.

2. English language requirement

Applicants whose first language is not English are usually required to provide evidence of proficiency in English at the higher level required by the University.

3. Availability of supervision, teaching, facilities and places

The following factors will govern whether candidates can be offered places:

  • The ability of the Mathematical Institute to provide the appropriate supervision, research opportunities, teaching and facilities for your chosen area of work. 
  • Minimum and maximum limits to the numbers of students who may be admitted to Oxford's research and taught programmes.

The provision of supervision, where required, is subject to the following points:

  • The allocation of graduate supervision is the responsibility of the Mathematical Institute and it is not always possible to accommodate the preferences of incoming graduate students to work with a particular member of staff. 
  • Under exceptional circumstances a supervisor may be found outside the Mathematical Institute.

You will be assigned an initial supervisor on arrival in Oxford whose role is to act as an academic advisor during the first two terms of the course. In the third term, your supervisor will usually change when you start work on your dissertation.

Where possible your academic dissertation supervisor will then not change for the remainder of your course. However, it may be necessary to assign a new academic supervisor during the course of study for reasons which might include sabbatical leave, maternity leave or change in employment.

4. Disability, health conditions and specific learning difficulties

Students are selected for admission without regard to gender, marital or civil partnership status, disability, race, nationality, ethnic origin, religion or belief, sexual orientation, age or social background.

Decisions on admission are based solely on the individual academic merits of each candidate and the application of the entry requirements appropriate to the course.

Further information on how these matters are supported during the admissions process is available in our guidance for applicants with disabilities.

5. Assessors

All recommendations to admit a student involve the judgment of at least two members of academic staff with relevant experience and expertise, and additionally must be approved by the Director of Graduate Studies or Admissions Committee (or equivalent departmental persons or bodies).

Admissions panels or committees will always include at least one member of academic staff who has undertaken appropriate training.

6. Other information

Whether you have yet secured funding is not taken into consideration in the decision to make an initial offer of a place, but please note that the initial offer of a place will not be confirmed until you have completed a Financial Declaration.

Resources

The Mathematical Institute is based in the Andrew Wiles Building, which has six lecture theatres and six class rooms. The largest lecture theatre seats up to 363 people and all classrooms can accommodate 24 people.

Graduate students have access to the department common room and the mezzanine level of the Andrew Wiles Building houses a canteen and teaching spaces. There is also a study room specifically for Mathematical Finance students.

The Mathematical Institute provides IT support and the department's Whitehead Library.

Funding

There are over 1,000 full graduate scholarships available across the University, and these cover your course and college fees and provide a grant for living costs. If you apply by the relevant January deadline and fulfil the eligibility criteria you will be automatically considered. Over two thirds of Oxford scholarships require nothing more than the standard course application. Use the Fees, funding and scholarship search to find out which scholarships you are eligible for and if they require an additional application, full details of which are provided.

For students applying to programmes within the MPLS Division at Oxford, Research Council and other funding opportunities available, subject to eligibility. These opportunities are included in the Fees, funding and scholarship search.

You may also be interested in departmental funding opportunities. Further details can be found on the Mathematical Institute website.

Costs

Annual fees for entry in 2017-18

Fee status

Tuition fee

College fee

Total annual fees

Home/EU
(including Islands)
£27,160£3,021£30,181
Overseas£27,160£3,021£30,181

The fees shown above are the annual tuition and college fees for this course for entry in the stated academic year; for courses lasting longer than one year, please be aware that fees will usually increase annually. For details, please see our guidance on likely increases to fees and charges.

Tuition and college fees are payable each year for the duration of your fee liability (your fee liability is the length of time for which you are required to pay tuition and college fees).

Deposits

If your application is successful, you will be asked to pay a deposit against your course fees at the application stage as a condition of your offer. The deposit amount and date by which payment must be made are shown below.

Fee status

Amount of deposit

Date by which deposit must be paid

Home/EU
(including Islands)
£2,71630 days from date on the initial offer letter
Overseas£2,716

The department's website provides further information about deposits for this course.

For more information about tuition fees, college fees and fee liability, please see the Fees section of this website. EU applicants should refer to our dedicated webpage for details on the impact of the result of the UK referendum on its membership of the European Union.

Additional information

There are no compulsory elements of this course that entail additional costs beyond fees and living costs.  However, as part of your course requirements, you may need to choose a dissertation, a project or a thesis topic. Please note that, depending on your choice of topic and the research required to complete it, you may incur additional expenses, such as travel expenses, research expenses, and field trips. You will need to meet these additional costs, although you may be able to apply for small grants from your department and/or college to help you cover some of these expenses.

Living costs

In addition to your tuition and college fees, you will need to ensure that you have adequate funds to support your living costs for the duration of your course.

For the 2017-18 academic year, the range of likely living costs is between £1,002 and £1,471 for each month spent in Oxford. Full information, including a breakdown of likely living costs in Oxford for items such as food, accommodation and study costs, is available on our Living costs page.

How to apply

You are welcome to make contact with the Course Director before you apply in order to find out more about the course. However, it is not necessary to contact a potential supervisor as this will be arranged on your arrival.

The set of documents you should send with your application to this course comprises the following:

Official transcript(s)

Your transcripts should give detailed information of the individual grades received in your university-level qualifications to date. You should only upload official documents issued by your institution and any transcript not in English should be accompanied by a certified translation.

More information about the transcript requirement is available in the Application Guide.

CV/résumé

A CV/résumé is compulsory for all applications. Most applicants choose to submit a document of one to two pages highlighting their academic achievements and any relevant professional experience.

Statement of purpose/personal statement:
Up to three pages

Your statement should be written in English and briefly explain your motivation for applying for the course at Oxford, your relevant experience and education, and the specific areas that interest you and/or you intend to specialise in. 

This will be assessed for:

  • your reasons for applying
  • evidence of motivation for and understanding of the proposed area of study
  • commitment to the subject, beyond the requirements of the degree course
  • capacity for sustained and intense work
  • reasoning ability
  • ability to absorb new ideas, often presented abstractly, at a rapid pace. 

Admissions exercise:
MSc in MCF admissions exercise answers with signed disclaimer

You must submit solutions to the MSc in Mathematics and Computational Finance admissions exercise as part of your application:

You should upload this to your application as written work.

This will be assessed to determine whether your mathematical background is adequate, particularly in calculus, linear algebra, probability, statistics, algorithms and partial differential equations.

References/letters of recommendation:
Three overall, all of which must be academic

Whilst you must register three referees, the department may start the assessment of your application if two of the three references are submitted by the course deadline and your application is otherwise complete. Please note that you may still be required to ensure your third referee supplies a reference for consideration.

Your references will support which support intellectual ability, academic achievement and motivation. References must be academic.