Programme Specification

Master of Science in Mathematical Finance

1. Awarding Institution / Body:University of Oxford

2. Teaching Institution:University of Oxford,

3. Programme Accredited by:N/A

4. Final Award: MSc in Mathematical Finance

5. Programme Title: MSc in Mathematical Finance

6. UCAS Code: N/A

7. Relevant subject benchmark statement: Mathematics, Statistics and Operational Research

8. Date of Programme Specification:January 2015

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9. Educational Aims of the Programme: The aims of the programme are:

  • to develop modelling and mathematical skills in application to practical problems in banks and other financial institutions
  • to introduce the most commonly used and most important technical and quantitative methods in regular use in banks and other financial institutions
  • to enable students to select and make use of mathematical techniques and methods from related disciplines (such as physics, applied mathematics, pure mathematics, statistics, computing and corporate finance) in the analysis of finance issues
  • to enable students to undertake an original piece of research addressing an industrial problem in mathematical finance

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10. Programme Outcomes:

Knowledge and understanding:

At the end of the course students will be expected to:

  • demonstrate a broad, systematic and critical knowledge of the mathematical, statistical and computing methods appropriate for specifying mathematical problems in banks and other financial institutions
  • demonstrate a comprehensive understanding of the most common applications of mathematics in finance and recent extensions thereof
  • demonstrate an ability to select and apply numerical methods appropriate for the solution of finance problems
  • demonstrate familiarity with emerging mathematical techniques appropriate in banks and other financial institutions

Cognitive / Intellectual Skills:

At the end of the course students will be expected to:

  • determine and select the most appropriate standard mathematical, statistical and computing methods appropriate for specifying mathematical problems in banks and other financial institutions through a critical understanding of the relative advantages of these methods, and to develop extensions to these methods appropriate for the solution of non-standard problems.
  • know the main features of models commonly applied in financial firms and be able to express these mathematically and to be able to appraise their utility and effectiveness
  • explain and critically appraise the rationale for the selection of mathematical tools used in the analysis of common finance problems
  • be able to demonstrate the appropriateness of modelling or numerical solutions in analysing common problems in banks and other financial institutions
  • be able to select and apply numerical solutions in some areas of finance
  • be able to undertake a piece of directed research in mathematical finance

Transferable / Key Skills:

Students will be expected to have developed a range of transferable skills including:

  • skills in managing their own learning and conducting independent and effective study
  • skills in applying cross-disciplinary techniques of analysis (for example, to the domain of finance from pure and applied mathematics and other disciplines)
  • skills in problem specification (analytical and, where appropriate, numerical)
  • skills in applying mathematical and computational methods to problem solution in industrial contexts
  • skills in the mathematical analysis of abstract problems
  • skills in managing research-based work in mathematical finance, especially in any industrial setting

Discipline-specific Practical Skills:

Students will be able to:

  • carry out an extended research project involving a literature review, problem specification and analysis in mathematical finance and produce a Dissertation
  • demonstrate knowledge of a range of specific mathematical techniques in finance

Achievement of Learning Outcomes

The intended learning outcomes (above) are achieved using the following teaching and learning strategies.

Lectures

  • present and explore core ideas in the subject of mathematical finance in a form allowing students to appreciate the taxonomy of models and methods
  • demonstrate solution strategies using leading models through practical examples
  • review critically the experience of applications in the finance domain

Practical sessions

  • provide a structured opportunity for students to practice techniques and methods in mathematical analysis of problems in mathematical finance using analytical and computational tools
  • promote discussion and sharing of ideas in the practice of mathematical analysis in a finance setting
  • provide a structured opportunity to develop computational and numerical solutions to problems with guidance from tutors

Guided reading

  • specify recommended texts, key articles and other materials in advance of, or following, lecture classes for the purposes of discussion

Course assignments

  • enable students to tackle practical problems in mathematical finance and abstract analysis relevant to the analysis of finance
  • provide an opportunity to demonstrate, and test, the selection of appropriate analytical and computational tools

Expert (guest) lectures

  • provide illustrative cases of the practical application of tools and techniques in mathematical finance from corporate, bank, bond or securities finance in industry.
  • relate the mathematical and analytical purposes of analysis to the management and organisational context of the financial firm

Dissertation

  • enables students to practice the application of mathematical research techniques in an industrial context and/or academic context
  • provides an opportunity for students to study in depth a mathematical problem in a financial firm

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11. Programme structures and features

Students who successfully complete the award will be granted an MSc in Mathematical Finance, worth 180 CATS points at FHEQ level 7(Masters). (The Postgraduate Diploma ‘exit award’ is worth 120 CATS points at FHEQ level 7(Masters).)

The Programme is part-time, starts in January, and usually covers seven terms (28 months).

The MSc contains the following mandatory programme elements.

Four Core Modules

Written Examination (comprising two 2-hour examination papers)

Three Advanced Module assignments

Dissertation

Students may also be required to attend a viva voce examination if required by the Examiners.

The taught component of the course is delivered via a series of modules, each of which is a face-to-face course in Oxford, covering a different branch of finance in detail, with formal lectures, informal discussion and hands-on workshops. Core Modules are each taught over five days. Advanced modules are each taught over four days. Teaching is done by academics and, especially in the later modules, practitioners from industry.

In 2012-13 the Core Modules are:

Module 1Mathematical and Technical Prerequisites

Module 2Black-Scholes Theory

Module 3Extensions of the Black-Scholes Framework

Module 4Exotic Options and Advanced Modelling Techniques

and the Advanced Modules are:

Module 5 Advanced Modelling Topics 1

Module 6 Advanced Numerical Methods

Module 7Quantitative Risk Management

Module 8Advanced Modelling Topics 2

Core Modules are assessed formatively by assignments in the form of problem sheets that are distributed during each module.

Advanced Modules are usually assessed summatively by short ‘special project’ reports/assignments, each submitted on a subject chosen by the student that is covered in the module.

Two two-hour written examinations cover the material of the Core Modules.

The MSc Dissertation is normally taken up after the last module. It must be a substantial piece of original academic work.

All students initially register for the MSc. Students who are unable to complete the Dissertation for some reason may apply to be awarded a Postgraduate Diploma. This consists of the two written examinations and three advanced module assignments.

12. Support for Students and their Learning

  • Course Directors provide an induction session at the start of the first Module, and students are given a Course Handbook.
  • Course Directors and Tutors give detailed feedback on assignments. For Core Modules classes are held in the subsequent Module to feedback on the assignment.
  • During modules Course tutors and Directors are available for informal discussion in breaks between lectures/classes.
  • Course Directors and Supervisors support students in proposing, preparing and writing the Dissertation. They will provide detailed feedback during the progress of the Dissertation.
  • There is a specialist library of learning materials for the course held inthe Andrew Wiles Building.
  • Students are given access to Mathematical Institute and University IT facilities. They are enabled to download software for the Modules, given wireless access to the internet in the Module teaching room, and supported and advised by the Course Administrators, IT staff at the Mathematical Institute and the Course Directors.
  • There is a Residential Centre at Rewley House at which students may book accommodation for the modules. Internet access is available from rooms in the Residential Centre.
  • Students have access to Oxford University Computing Services courses.
  • Students are supported by University policies on Equal Opportunities, Disability, Harassment and Safety.
  • Students are advised of the University’s Complaints and Appeals procedures in the Course Handbook.

The students also have access to all University facilities and support including career and counselling services, limited childcare provision and sport and recreation facilities. As members of a college they will benefit from pastoral support, and sporting and social facilities within their college.

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13. Criteria for admission

The Admissions Criteria can be found at

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14. Methods for evaluating and improving the quality and standards of learning

  • The content of the course is regularly monitored by the Course Directors and feedback is solicited after each module from all students via a questionnaire. This feedback is used by the Course Directors to inform future course design, and reported to the Supervisory Committee as appropriate.
  • Course Directors have discussions with practioner lecturers and students’ employers.
  • The course is run by the Mathematical Institute. It is overseen by a SupervisoryCommittee. The Supervisory Committee also includes an external member from industry and a student.
  • The Mathematical Institute has responsibility for all academic aspects of the programme. The Course Directors are members of the Mathematical Institute academic staff.
  • The Course Directors report to the SupervisoryCommittee on the course. Detail is provided on admissions, student retention, staffing, course changes, student feedback and responses to feedback, student performance, student destinations, and any other issues affecting the course.
  • The Supervisory Committee reports as appropriate to the Mathematical, Physical and Life Sciences Division (via relevant committees of the Mathematical Institute). These bodies advise on academic policy, quality assurance and enhancement of the course provision, and issues particularly affecting part-time students.
  • Any proposals for changes to the course Examination Regulations are considered by the SupervisoryCommittee, , the Mathematical, Physical and Life Sciences Division, and the University Education Committee.
  • The University regularly reviews taught courses. This course was last reviewed jointly by both the Department for Continuing Education and the Mathematical, Physical and Life Sciences Division in June 2008.
  • The Oxford Learning Institute (OLI) supports the furtherance of excellence in learning, teaching and research at the University and promotes the professional and vocational development of staff. Mathematical Institute staff are encouraged to attend courses provided by OLI as appropriate. OLI is also happy to provide seminars tailored to the specific needs of the department.
  • The programme is included in the HESA survey (Destination of leavers from Higher Education survey) completed in respect of part time students.
  • The internal examiners report annually and their report is considered by the course Supervisory Committee, the Mathematics Teaching Committee and the Mathematical, Physical and Life Sciences Division.
  • The external examiner provides an annual report which is considered by the course SupervisoryCommittee, the Mathematics Teaching Committee, the Mathematical, Physical and Life Sciences Division and the University Education Committee.

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15. Regulation of assessment

15.a Examination Conventions

Examination Conventions are approved annually by the course Supervisory Committee and the Mathematics Teaching Committee and are provided to students at the beginning of the programme in the Course Handbook. The Examination Conventionswere revised in 2009 in light of recommendations of the University’s Joint Review of the programme in 2008. The conventions for January 2012+ have been further revised in light of the new course structure. Up-to-date Examination Conventions can be found in the Course Handbook at

15.b Other factors to note in the Regulation of Assessment

A Board of Examiners is appointed annually by the Mathematics Committee for the Nomination of Examiners. It includes one External Examiner. The role of the External Examiners as defined by the University can be found in ‘Policy and Guidance on Examinations and Assessment on the website at

For this programme External Examiners usually act as arbiters rather than as first or second markers.

The internal Examiners report annually and their report is considered by the course Supervisory Committee, the Mathematics Teaching Committee and the Mathematical, Physical and Life Sciences Division.

The External Examiner provides an annual report to the Vice-Chancellor of the University which is considered by the course Supervisory Committee, the Mathematics Teaching Committee the Mathematical, Physical and Life Sciences Division and the University Education Committee.

The Proctors are responsible overall for the conduct of examinations within the University. .

Procedures for making academic appeals are explained to students in the Course Handbook.

16. Indicators of quality and standards

Indicators of programme quality include:

  • The June 2008 University Joint Review was “impressed by a number of aspects of the programme”.
  • Recent External Examiner’s reports comment “My impression is that the objectives and the procedures for assessment are well-defined and rigorous, and that they are understood by the lecturers as well as by the students. The balance and the content of the various degree components are appropriate for the stated objectives. The degrees appear to have been taught and administered with diligence and care…I am overall satisfied with the teaching and the assessment procedures of these degrees.” (2008-09) and “In my opinion, the academic standards set for the award of both degrees reach, and exceed, the highstandards one would expect from the University, and are comparable to degrees from other leadinguniversities. The assessment processes are rigorous and well structured, and policies are carefully implemented in order to ensure equality for students.”(2009-10) and “My impression of the program is that students graduate with a broad mathematical education in the relevant techniques, combined with the ability to use this knowledge to tackle practical problems which arise in financial institutions. In this sense, I believe that the course in unique in the country…I am particularly impressed with the manner in which this course is able to incorporate the industrial experience of the students into the programme, most notably in their dissertations.” (2010-11)
  • The majority of students are in employment and many are funded by their employers, in part or in whole, to undertake this programme.
  • After completing the course students often move on and up in their career to a more quantitative role.
  • The Mathematical Institute, responsible for all academic aspects of the programme,made a submission to the 2008 RAE in which 30% of research activity in Applied Mathematics was judged to be 4*; and 45% judged to be 3*.
  • University Teaching Awards, recognising excellence in teaching, were awarded to the Course Team in 2007 for the development of the course, and to the Course Director in 2010 for redesigning the curriculum.
  • Publications have resulted from Dissertation work undertaken on the MSc.

Contact for Queries

Academic Administrator for Mathematical Finance, Mathematical Institute, Andrew Wiles Building, Radcliffe Observatory Quarter, Woodstock Road, OX2 6GG; ; 01865 283873

CG, CR adapted from an earlier version 12/01/2009

19/01/09 Approved by Standing Committee

Minor revisions CG 10.01.10

CG minor revisions 05/01/11, 06/01/12, 12/11/12, 12/12/12

CTS – minor revisions 31/01/14

CTS – minor revisions 06/02/15