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 problems. You will develop skills to formulate mathematical problems that are based on the needs of the financial industry. You will carry out relevant mathematical and financial analysis, develop and implement  appropriate tools to present and interpret model 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 four introductory courses in the first week. The introductory courses cover partial differential equations, probability and statistics, financial markets and Python.

The first term focuses on compulsory core material, offering 64 hours of lectures and 24 hours of classes, plus one compulsory computing course offering 16 hours of lectures. 

Core courses

  • Stochastic Calculus (16 lectures, and 4 classes of 1.5 hours each)
  • Financial Derivatives (16 lectures, and 4 classes of 1.5 hours each)
  • Numerical Methods (16 lectures, and 4 classes of 1.5 hours each)
  • Statistics and Financial Data Analysis (16 lectures, and 4 classes of 1.5 hours each)

Computing course

  • Financial computing with C++ I (16 hours of lectures, plus 2 hours of lectures per week over weeks 1-9)

The second term will be a combination of core material, offering 40 hours of lectures and 32 hours of electives (students will choose 4 electives).

Core courses

  • Machine Learning (8 lectures, and 2 classes of 1.5 hours each)
  • Quantitative Risk Management (8 lectures, and 2 classes of 1.5 hours each)
  • Stochastic Control (8 lectures, and 2 classes of 1.5 hours each)
  • Fixed Income (16 lectures, and 4 classes of 1.5 hours each)

Elective courses

  • Stochastic Volatility (8 lectures, and 2 classes of 1.5 hours each)
  • Advanced Monte Carlo Methods (8 lectures, and 2 classes of 1.5 hours each)
  • Advanced Numerical Methods (8 lectures, and 2 classes of 1.5 hours each)
  • Asset Pricing (8 lectures, and 2 classes of 1.5 hours each)
  • Market Microstructure and Algorithmic Trading (8 lectures, and 2 classes of 1.5 hours each)

Computing course

  • Financial computing with C++ II (24 hours of lectures in total and practicals in weeks 7 and 8)

The third term is mainly dedicated to a dissertation project which is to be written on a topic chosen in consultation with your supervisor. This may be prepared in conjunction with an industry internship.

The examination will consist of the following elements:

  • three written examinations assessing the core material in the first and second terms
  • one written examination assessing elective material in the second term
  • take-home projects assessing one of core courses in the first and second term
  • two practical examinations assessing two courses in financial computing with C++.

Supervision

The allocation of graduate supervision for this course 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.

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.

Changes to this course and your supervision

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. In certain circumstances, for example due to visa difficulties or because the health needs of students cannot be met, it may be necessary to make adjustments to course requirements for international study.

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

For further information, please see our page on changes to courses.

Other courses you may wish to consider

If you're thinking about applying for this course, you may also wish to consider the courses listed below. These courses may have been suggested due to their similarity with this course, or because they are offered by the same department or faculty.

Entry requirements for entry in 2020-21

Proven and potential academic excellence

Degree-level qualifications

As a minimum, applicants should hold or be predicted to achieve the equivalent of the following UK qualifications:

  • a first-class or strong upper second-class undergraduate degree with honours 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 your degree is not from the UK or another country specified above, visit our International Qualifications page for guidance on the qualifications and grades that would usually be considered to meet the University’s minimum entry requirements.

GRE General Test scores

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

Other qualifications, evidence of excellence and relevant experience

Publications are not expected.

English language requirement

This course requires proficiency in English at the University's higher level. If your first language is not English, you may need to provide evidence that you meet this requirement.

Detailed requirements - higher level

The minimum scores required to meet the University's higher level are:

IELTS Academic7.5Minimum 7.0 per component
TOEFL iBT110

Minimum component scores:

  • Listening: 22
  • Reading: 24
  • Speaking: 25
  • Writing: 24
Cambridge Certificate of Advanced English (CAE) or C1 Advanced191Minimum 185 per component
Cambridge Certificate of Proficiency in English (CPE) or C2 Proficiency191Minimum 185 per component

Your test must have been taken no more than two years before the start date of your course. For more information about the English language test requirement, visit the Application Guide

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

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.

Supervision

Any offer of a place is dependent on the University’s ability to provide the appropriate supervision for your chosen area of work. Please refer to the ‘About’ section of this page for more information about the provision of supervision for this course.

How your application is assessed

Your application will be assessed purely on academic merit and potential, according to the published entry requirements for the course. 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. Whether you have secured funding will not be taken into consideration when your application is assessed.

Admissions panels and assessors

All recommendations to admit a student involve the judgement of at least two members of the academic staff with relevant experience and expertise, and must also be approved by the Director of Graduate Studies or Admissions Committee (or equivalent within the department).

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

After an offer is made

If you receive an offer of a place at Oxford, you will be required to meet the following requirements: 

Financial Declaration

If you are offered a place, you will be required to complete a Financial Declaration in order to meet your financial condition of admission.

Disclosure of criminal convictions

In accordance with the University’s obligations towards students and staff, we will ask you to declare any relevant, unspent criminal convictions before you can take up a place at Oxford.

Resources

The Mathematical Institute's home is the purpose-built Andrew Wiles Building, opened in 2013. This provides ample teaching facilities for lectures, classes and seminars. The Mathematical Institute provides IT support, and students can use the department's Whitehead Library, with an extensive range of books and journals.

In addition to the common room, where graduate students regularly gather for coffee and other social occasions, there is also a café in the Andrew Wiles Building.

Funding

There are over 1,100 full or partial graduate scholarships available across the University. You will be automatically considered for over two thirds of Oxford scholarships, if you fulfil the eligibility criteria and submit your graduate application by the relevant January deadline, with most scholarships awarded on the basis of academic merit and/or potential. To help identify those scholarships where you will be required to submit an additional application, use the Fees, funding and scholarships search and visit individual college websites using the links provided on our college pages.

Costs

Annual fees for entry in 2020-21

Fee status

Annual Course fees

Home/EU (including Islands)£33,625
Overseas£33,625

Course 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 course fees). 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.

Course fees cover your teaching as well as other academic services and facilities provided to support your studies. Unless specified in the additional information section below, course fees do not cover your accommodation, residential costs or other living costs. They also don’t cover any additional costs and charges that are outlined in the additional information below.

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)
£3,600 Approximately 30 days after an offer is made
Overseas £3,600

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

For more information about course fees and fee liability, please see the Fees section of this website. EU applicants should refer to our dedicated webpage for details of the implications of the UK’s plans to leave 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 course fees, you will need to ensure that you have adequate funds to support your living costs for the duration of your course.

For the 2020-21 academic year, the range of likely living costs for full-time study is between c. £1,135 and £1,650 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. When planning your finances for any future years of study in Oxford beyond 2020-21, you should allow for an estimated increase in living expenses of 3% each year.

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 one page

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.

Start or continue an application

Step 1: Read our guide to getting started, which explains how to prepare for and start an application.

Step 2: Check that you meet the Entry requirements and read the How to apply information on this page.

Step 3: Check the deadlines on this page and plan your time to submit your application well in advance.

Step 4: Our Application Guide will help you complete the form. It contains links to FAQs and further help.

Step 5: Submit your application as soon as possible (you can read more information about our deadlines).

Application GuideApply

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