Financial Mathematics Program
The School offers a variety of units of study concerned with financial mathematics, ranging from introductory units for undergraduates to advanced units for honours students.
The B.Sc. and B.Sc. (advanced) degrees allow students to major in Financial Mathematics and Statistics. See below for more details.
The School's contact person for the financial mathematics program is Prof Marek Rutkowski.
- Optimization and Financial Mathematics
- This intermediate (second year) mathematics unit. includes an introduction to financial mathematics, with topics such as the pricing of riskless and risky securities, pricing of bonds, a first look at classical options and a simulated electronic trading project. It is offered at both advanced and normal levels. The prerequisites for Optimization and Financial Mathematics are the four junior mathematics units (taken either at normal or advanced level) covering differential calculus, linear algebra, integral calculus & modelling and statistics.
- Financial Mathematics
- This senior year unit includes modern portfolio theory, capital markets and advanced option pricing techniques. It follows on from the intermediate unit Optimization and Financial Mathematics and is also offered at both advanced and normal levels.
- Advanced Option Pricing
- This unit is an advanced program designed for top students and includes the latest mathematical techniques for pricing derivative securities and exotic options. It is available to fourth year (Honours) students.
- Interest Rate Modelling
- This unit expands the range of financial applications to interest rate sensitive derivatives. It is available to fourth year (Honours) students.
Units of Study for a Major in Financial Mathematics and Statistics:
Core Junior units
- MATH 1001/1901/1906 Differential Calculus
- MATH 1002/1902 Linear Algebra
- MATH 1003/1903/1907 Integral Calculus and Modelling
- MATH 1005/1905 Statistics
Core Intermediate units
- MATH 2070/2970 Optimization and Financial Mathematics
- STAT 2011/2911 Statistical Models
- STAT 2012/2912 Statistical Tests
Core Senior units
- MATH 3075/3975 Financial Mathematics
- STAT 3011/3911 Stochastic Processes and Time Series
- STAT 3012/3912 Applied Linear Models
Senior Electives (at least one must be taken)
MATH 3076/3976 Mathematical Computing, MATH 3078/3978 Partial Differential Equations and Waves, STAT 3013/3913 Statistical Inference, STAT 3014/3914 Applied Statistics, INFO 3404/3504 Database Systems 2.
All of the Mathematics and Statistics units of study mentioned above have their own web pages. To find them, navigate from the Teaching Program page of the School.