The last few years have witnessed the development of financial mathematics as a new and rapidly growing academic discipline. This has been accompanied, and in part fueled, by demand in the world's leading financial centers for well trained quantitative graduates to work in derivatives, risk management, and investment management functions. The 12-month, full-time program at the University of Warwick provides a thorough training in financial mathematics for financial engineers and Ph.D. students of the highest caliber. We intend to set new standards for a course of this kind, and through the contributions of our graduates, to influence the development of the field.
The main objective is to cover the field of financial mathematics in a reasonably broad yet rigorous way, not just encompassing the replication of contingent claims in a complete market setting, but also materials drawn from financial markets, financial theory, economics, econometrics, and stochastic processes, together with related mathematical and computational techniques. These are taught by specialists in each area. The program is interdisciplinary, involving the Business School, the Mathematics Institute, and the statistics and economics departments, with careful coordination and interpretation of the content. The dissertation provides the student with a further opportunity to explore a particular topic independently in some depth, over 3 months.
Components of the Warwick Program
The components of the program are 1) Stochastic Methods and Financial Instruments, 2) Economic Analysis and Asset Pricing, 3) Numerical Methods and Optimization, and 4) Statistical Techniques and Time Series Analysis.
The stochastic methods courses focus on the methods of stochastic calculus in the context of their applications in finance. They provide a rigorous development of the mathematical tools and apply them to understand the pricing models developed for use in the financial markets. The well-known Black-Scholes model is analyzed in great detail as are some of the most recent models used to value interest rate derivatives.
The financial instruments course explores the main derivative instruments and how to hedge and use them effectively. The economic analysis and asset pricing component provides an introduction to the function of markets generally as well as the economic and financial theory that underlies derivatives pricing and hedging. The numerical methods and optimization component provides the tools from numerical analysis and linear and nonlinear programming that are heavily used in the derivatives area. There is a significant amount of computer work as well, including C programming projects. Finally, the statistical techniques and time series analysis component provides many of the statistical techniques necessary for work in empirical finance as well as an introduction to financial time series and their analysis.
Project work for the M.S. dissertation may be done within a company or desk-based at the university.
What can I expect to get out of the degree?
The Warwick M.S. provides thorough training in the rapidly developing area of quantitative finance. The students from the program can be expected to find rewarding jobs in derivatives pricing and trading, risk management, and financial software development. This interdisciplinary course is wonderful preparation for work in these areas. Alternatively it provides excellent training for those wishing to continue to do doctoral work in this field.
The program is recruiting bright students with a good honors degree in a quantitative discipline who are interested in learning financial mathematics. People with relevant work experience and who are looking to extend their skills are especially welcome, but work experience is not a requirement as long as the interest in finance is there. The interdisciplinary nature of the subject and program mean that successful applicants will have had some exposure to some components of the program and relatively little to others. Students in the M.S. tend to have a wide variety of backgrounds and learn from interacting with each other, as well as from the actual lectures. The program is very intense, but it provides a stimulating and rewarding intellectual experience for the right student.
For further information, see the Web site or contact the academic coordinator, Dr. Devraj Basu:
Phone: +44 (0) 1203 572836
Fax: +44 (0) 1203 572871