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Programme Structure

To achieve an MSc degree students must complete modules to the value of 180 credits, including 90 credits of core taught modules, 30 credits chosen among the optional taught modules, and a 60-credit dissertation. 

Students who successfully complete 60 credits of taught modules may be eligible for the award of a Postgraduate Certificate.

Term 1 (Autumn)

Core modules:
Advanced Regression Analysis (20 credits, taught module)
Mathematical Methods of Finance (20 credits, taught module)
Portfolio Theory and Risk Management (10 credits, taught module)

Optional modules:
C++ Programming with Applications in Finance (10 credits, taught module, continues into Term 2)
Bayesian Statistics (10 credits, taught module)*
Stochastic Processes (M Level) (10 credits, taught module)

Discrete Time Modelling and Derivative Securities (20 credits, taught module)

Term 2 (Spring)

Core modules:
Financial Time Series (10 credits, taught module)
Stochastic Calculus and Black-Scholes Theory (20 credits, taught module)
Advanced Multivariate Analysis (10 credits, taught module)

Optional modules:
Numerical Methods for PDEs (10 credits, taught module)
Statistics for Insurance (10 credits, taught module)
Survival Analysis (M Level) (10 credits, taught module)

C++ Programming with Applications in Finance (10 credits, taught module, continued from Term 1)

*This module (together with Stochastic Processes in the 2013/4 academic year) is at H-level (3rd year) modules which MSc students may take, provided they have not previously taken them as part of their undergraduate degree.  However, intending students should be aware that these modules will only receive a Pass/Fail grade on a student's transcript and the numerical mark obtained will not be taken into account when the student's weighted average mark is calculated. 

Students who have previously completed an undergraduate degree in the Department of Mathematics at the University of York should be aware that, if they have previously taken modules which contain the same content as those in the MSc programme in Statistics & Computational Finance, they may be required to take alternative modules as part of their MSc programme.

Term 3 (Summer)

Core module:
Dissertation (60 credits, independent study module)


Edited 19 Sep 2014 - 09:17 by njp503

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