You will study background finance, coupled with the development of the key background mathematics of stochastic calculus. These will prepare the ground for theoretical courses on mathematical applications in finance and a range of courses on numerical techniques for the practical implementation of the ideas. Overall this programme offers a unique combination of subjects from financial markets to theoretical maths.
Students will gain an understanding of mathematical concepts in research papers in the area and make a significant contribution to prospective employers in the industry.
How You Will Be Taught
The course is jointly run by two universities - Edinburgh and Heriot-Watt - so you will be able to enjoy the facilities offered by both. Students are required to take six compulsory modules, four special topics and two credit modules from a range of nine optional modules. Successful performance in these examinations leads to a three month dissertation project for the award of the MSc degree.
The course is jointly run by two universities so you will be able to enjoy the facilities offered by each. Two days a week are spent at the University of Edinburgh with the rest of the time at Heriot-Watt.
The course consists of
* 6 compulsory modules
* 8 optional modules
* 4 special topics
* a project
In addition, a short Matlab course is provided in Semester 1.
Stochastic Processes I, Financial Markets, Derivatives Markets, Special Topics I
Simulation, Statistical Methods, Financial Risk Management,
Stochastic processes II, Derivative Pricing and Financial Modelling, Modern Portfolio Theory, Special Topics II
Credit Risk Management (new from 2007/08)
Mathematical Programming, Numerical Techniques for PDEs, Financial Econometrics, Time Series Analysis,