Financial Mathematics at the University of Sydney

One of the fastest growing areas of employment for mathematical graduates is the high-tech end of the financial sector. Banks, insurance companies and investment houses are busy setting up quantitative analysis groups and departments, staffed by highly trained mathematical graduates.

These graduates are needed to establish, operate and maintain protocols for pricing the vast number of financially engineered products which are now traded both over-the-counter and on the international markets. These include traditional products like options and futures and modern products such as barriers, caps, swaps, exotics and other derivative securities. The operation and analysis of large investment portfolios is another important area in which expertise in financial mathematics is a premium requirement.

The University of Sydney's School of Mathematics and Statistics is meeting the challenge of providing the technical skills that these graduates will need. The School has recently introduced a number of courses to cater both for the needs of the industry and the background of the students entering the program.

It is now possible for science students to major in Financial Mathematics and Statistics. See below for more details.

Optimization & Financial Mathematics

This introductory unit is a second year mathematics unit. It includes the pricing of riskless and risky securities; pricing of bonds; first look at classical options. It is offered at both advanced and normal levels. The prerequisites for this unit 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 II

This third year unit includes modern portfolio theory, capital markets and advanced option pricing techniques. This unit follows on from Optimization & Financial Mathematics, and is offered at both advanced and normal levels.

Advanced Option Pricing

This is an advanced program designed for top students and includes the latest mathematical techniques for pricing derivative securities and exotic options. It is available on a stand-alone basis to anyone who is suitably qualified, as well as forming part of the School's fourth year honours program.

Interest Rate Modelling

This unit expands the range of financial applications to interest rate sensitive derivatives. Like Advanced Option Pricing, it forms part of the fourth year honours program and is also is available as a stand-alone program to anyone who is suitably qualified.

Mathematical Foundations for Finance

This unit is currently available as a component of the Master of Information Technology degree program. It covers many of the topics that are assumed knowledge for MATH4431 (Advanced Option Pricing) and MATH4433 (Interest Rate Modelling).

Further details of all our courses can be found by navigating from the Teaching Program Page of the School of Mathematics & Statistics Web Site.

Students in the BSc and BSc (Advanced) degrees can choose to major in Financial Mathematics and Statistics. By choosing the core units of study and one of the electives from the lists below, you will graduate with a major in Financial Mathematics and Statistics. You may also elect to have your major area of study printed on your testamur, identifying your expertise in financial mathematics and statistics to prospective employers. Most of the core and elective units are offered at two levels (normal and advanced) right through from first year to the end of third year. The best students may also consider completing a fourth (Honours) year, combining the units on Advanced Option Pricing and Interest Rate Modelling with other fourth year units drawn from Mathematics and/or Statistics.

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 3067 Information and Coding Theory, 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.