Introductory description

This module is core for students on the MSc in Mathematical Finance. It is not available to students on other courses.

Module web page

Module aims

Outline syllabus

This is an indicative module outline only to give an indication of the sort of topics that may be covered. Actual sessions held may differ.

Each student will choose/ be allocated an individual dissertation supervisor in Statistics, WMI or WBS. Students will be given group instruction on the dissertations and academic writing. The dissertation supervision will consist of individual supervisory meetings, accompanied by independent research and the writing of the dissertation. The subject of the dissertation can be any topic in financial mathematics chosen jointly by the student and the supervisor. Students will be required to write a dissertation proposal near the start of the dissertation period.

Learning outcomes

By the end of the module, students should be able to:

• Demonstrate an in-depth comprehension of the current literature in the topic area, including both the mathematical content and the financial application, and provide a critical review
• Explain the boundaries of current knowledge in the topic area within financial mathematics, and the limitations of the research project, including the conclusions which may be drawn from the project.
• Apply advanced theories, methodologies and techniques learnt during the taught component of the programme to a significant issue in research in financial mathematics.
• Put together a well-structured and concise proposal that demonstrates basic understanding of the relevant literature and the research topic that is to be tackled in the dissertation

Research element

To allow students to synthesise, apply and extend the knowledge they have gained in the taught component of the programme, and to demonstrate mastery of some elements of financial mathematics.
To demonstrate in-depth comprehension of an area of financial mathematics.
The focus of the dissertation may be to either

• Implement and provide a critical analysis of a set of quantitative models used in finance
• Use market data in performing statistical tests of a set of financial hypotheses
• Synthesise an area of theoretical research in financial mathematics, extending knowledge where possible and demonstrating mastery of the subject by expanding on the arguments given in the literature.

Subject specific skills

TBC

Transferable skills

TBC