Postgraduate study

Computational Mathematical Finance

Awards: MSc, PgDip

Study modes: Full-time, Part-time

Funding available

The MSc in Computational Mathematical Finance (CMF) is a dynamic new programme with the aim to deliver high quality training in the theory of Mathematical Finance with strong emphasis on computational methods.

Currently graduates in this field are expected to have a working knowledge of advanced computational finance (including construction of algorithms and programming skills) as well as a sound knowledge of the theory of Probability and Stochastic Analysis. These are the core theories needed in the modern valuation of complex financial instruments.

This MSc programme delivers:

  • a flexible programme of study relevant to the needs of employers such as: top investment banks, hedge funds and asset management firms
  • a solid knowledge in financial derivative pricing, risk management and portfolio management
  • the transferable computational skills required by the modern quantitative finance world

You must obtain a total of 180 credits to be awarded the MSc. Over semesters 1 and 2, you will take compulsory courses worth a total of 85 credits and optional courses worth a further 35 credits. Successful performance in these courses (assessed through coursework or examinations or both) allows you to start work on a three-month dissertation project, worth 60 credits, for the award of the MSc degree.

There are two streams: the Financial stream and the Computational stream.

Compulsory courses (both streams):

  • Stochastic Analysis in Finance (20 credits, semester 1)
  • Discrete-Time Finance (10 credits, semester 1)
  • Finance, Risk and Uncertainty (10 credits, semester 1)
  • Object-Oriented Programming with Applications (10 credits, semester 1)
  • Risk-Neutral Asset Pricing (10 credits, semester 2)
  • Stochastic Control and Dynamic Asset allocation (10 credits, semester 2)
  • Monte Carlo Methods (5 credits, semester 2)
  • Research-Linked Topics (10 credits, semesters 1 and 2)

Optional courses - Computational stream:

  • Numerical Methods for Stochastic Differential Equations [compulsory] (5 credits, semester 2)
  • Numerical Partial Differential Equations [compulsory] (10 credits, semester 2)
  • Programming Skills - HPC MSc (10 credits, semester 1)
  • Parallel Numerical Algorithms - HPC MSc (10 credits, semester 1)

Optional courses - Financial stream:

  • Financial Risk Theory [compulsory] (10 credits, semester 2)
  • Optimization Methods in Finance [compulsory] (10 credits, semester 2)
  • Advanced Time Series Econometrics (10 credits, semester 2)
  • Credit Scoring (10 credits, semester 2)
  • Computing for Operational Research and Finance (10 credits, semester 1)
  • Financial Risk Management (10 credits, semester 2)
  • Stochastic Optimization (5 credits, semester 2)

At the end of this programme you will have:

  • developed personal communications skills, initiative, and professionalism within a mathematical context
  • developed transferable skills that maximise your prospects for future employment, including writing, oral presentation, team-working, numerical and logical problem-solving, planning and time-management
  • improved your ability to convey ideas in an articulate fashion, to build upon previous mathematical training and further develop logic and deductive skills
  • mastered standard and advanced mathematical tools used to solve applied problems relevant to the mathematical finance industry
  • developed quantitative and computational skills for the proficient fulfilment of tasks in the financial sector

Graduates can expect to go on to work in major financial institutions or to continue their studies by joining PhD programmes.

A UK 2:1 degree, or its international equivalent, in mathematics or a mathematical subject such as statistics, physics or engineering. You must also have relevant programming experience.

International qualifications

Check whether your international qualifications meet our general entry requirements:

English language requirements

All applicants must have one of the following qualifications as evidence of their English language ability:

  • an undergraduate or masters degree, that was taught and assessed in English in a majority English speaking country as defined by UK Visas and Immigration

  • IELTS Academic: total 6.5 with at least 6.0 in each component
  • TOEFL-iBT: total 92 with at least 20 in each section
  • PTE(A): total 61 with at least 56 in each of the Communicative Skills scores
  • CAE and CPE: total 176 with at least 169 in each paper
  • Trinity ISE: ISE II with distinctions in all four components

Degrees taught and assessed in English must be no more than two and a half years old at the beginning of your degree programme. Language tests must be no more than two years old at the beginning of your degree programme.

Find out more about our language requirements:

  • School of Mathematics
  • James Clerk Maxwell Building
  • Peter Guthrie Tait Road
  • The King's Buildings Campus
  • Edinburgh
  • EH9 3FD

We encourage you to apply at least one month prior to entry so that we have enough time to process your application. If you are also applying for funding or will require a visa then we strongly recommend you apply as early as possible. We may consider late applications if we have places available, but you should contact the relevant Admissions Office for advice first.

You must submit a reference with your application.

Find out more about the general application process for postgraduate programmes:

Further information

  • School of Mathematics
  • James Clerk Maxwell Building
  • Peter Guthrie Tait Road
  • The King's Buildings Campus
  • Edinburgh
  • EH9 3FD