The MRes in Stochastic Analysis and Mathematical Finance is divided into a taught component, which accounts for 25% of the course, and a research project which accounts for the remaining 75%.

Taught component

Students attend lecture courses throughout the year and must register for assessment in three compulsory core taught modules from the following:

MRes course list

2016/2017 - MRes course list

Autumn term

  • M5MR1: Stochastic integrals: an introduction to Itô calculus (Prof. R. Cont)
  • M5MR4: Stochastic processes (Dr. T. Cass)
  • M5MR12: Markov Processes (Dr. A. Hening)

Spring term

  • M5MR5: Advanced methods in derivative pricing (Dr. J. Jacquier)
  • M5MR7: Lévy processes: Theory and Applications (Dr. M. Pistorius)
  • M5MR8: Simulation methods for finance (Dr. H. Zheng)
  • M5MR9: Dynamic portfolio theory (Dr. H. Zheng)
  • M5MR11: Stochastic differential equations (Dr. T. Cass)
  • M5MR13: Convex analysis and optimization (Dr. P. Siorpaes)


You will find full courses decriptions on the programme handbook.

 

2015/2016 - MRes course list

  • Stochastic integrals: an introduction to Itô calculus
  • Stochastic processes
  • Advanced methods in derivative pricing (including: Advanced topics in volatility modelling)
  • Lévy processes: theory and applications
  • Dynamic portfolio theory
  • Simulation methods for finance
  • Advanced topics in stochastic analysis
  • Algorithmic trading and machine learning
  • Advanced topics in mathematical finance
  • Introduction to Machine Learning

You will find full courses decriptions on the programme handbook.

In addition, every student on the course will attend two Optional Courses. These may be courses from the above list not already submitted for examination, any courses offered by the London Graduate School in Mathematics and Finance or the following courses:

  • M5P7: Functional analysis (Dr D. Gajic)
  • M3M3: Introduction to partial differential equations (Dr E. Zatorska)

Research project

You will spend much of the year working on a research project in your chosen area. This project will account for more than half of your work in the year. Although this project must be separate from a subsequent PhD, your PhD would normally lead on naturally from this work.

To support you in your project work, you will also receive training in research skills. This includes:

  • a lecture on ‘Reading Scientific Literature’
  • subject-based reading groups
  • seminar programmes
  • exercises in scientific writing and scientific presentation
  • short courses offered by the Graduate School