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Course: Mastering Mathematical Finance Online Courses - Numerical Methods in Finance with C++

Department of Mathematics University of York - Online Programs


Location

United Kingdom

Study Format

Online

Course language

English

Study Fields

Mathematics, Computer Science, Finance

Duration

4 Months

Academic pace

Part-time

Degree

Courses

Tuition Fee

Request info

Program Description

The courses are based on 8 books from the "Mastering Mathematical Finance" (MMF) series published by Cambridge University Press. There are 8 individual courses - each covering the contents of one of the books.

Delivery is by means of one-to-one tutorials conducted via Skype by the authors and editors of the series, and regular coursework.

Who are the courses aimed at?

The courses are designed to meet the continuing professional development and training needs of:

  • Finance or IT professionals working in quantitative finance and risk management
  • Individuals seeking a career change, managers who need to keep abreast with progress in these fields
  • Prospective students who would like to prepare for entry to relevant postgraduate degree programmes

Pre-sessional course

(Pre-sessional course "Mathematics for Quantitative Finance" - This course is suitable for candidates who need to consolidate their mathematics background before embarking on some or all of the 8 courses. Cost - £1500)

Method of Delivery List of Courses

  • Each online course to be based on a book from the MMF series, with an additional set of exercises, and involves 10 rounds of activities culminating in 10 one-to-one online sessions. Each course takes approximately 4 - 8 months to complete.
  • Each of the 10 rounds consists of:
    • self-study based on the book,
    • problem-solving: solutions submitted and marked electronically,
    • model solutions to the problems attempted,
    • written feedback on the work submitted,
    • one-hour one-to-one online session via Skype with screen sharing, conducted by one of the authors of the MMF series, tailor-made for individual requirements, a combination of lectures and tutorials.
  • Additionally, each module to provide:
    • an online discussion forum,
    • email support,
    • final test.
  • Induction meeting via Skype to cover technical matters before the start of the first module (including help in using the software needed for online delivery). Each student will need a decent internet connection (broadband standard), a Windows or Mac computer and a Skype account. There is some additional free software to install such as the LyX mathematical editor.
  • Additional pre-sessional course available for delegates who need to revise or acquire relevant mathematical background.

About the Numerical Methods in Finance with C++

Driven by concrete computational problems in quantitative finance, this book provides aspiring quant developers with the numerical techniques and programming skills they need. The authors start from scratch, so the reader does not need any previous experience of C++. Beginning with straightforward option pricing on binomial trees, the book gradually progresses towards more advanced topics, including nonlinear solvers, Monte Carlo techniques for path-dependent derivative securities, finite difference methods for partial differential equations, and American option pricing by solving a linear complementarity problem. Further material, including solutions to all exercises and C++ code, is available online. The book is ideal preparation for work as an entry-level quant programmer and it gives readers the confidence to progress to more advanced skill sets involving C++ design patterns as applied in finance.

  • Written specifically at the Master's level by experienced lecturers, so readers can dive indirectly
  • The mathematics is rigorous but also motivated, so readers see how to apply what they learn
  • Online material includes solutions to exercises and C++ code

About the School

Founded on principles of excellence, equality and opportunity for all, the University of York opened in 1963 with just 230 students. Since then we have become one of the world's leading universities, carving out a reputation as an academic powerhouse where a clear focus on excellence has secured national and international recognition alongside longer-established institutions.

Academic excellence

A member of the elite Russell Group of universities , we are a dynamic, research-intensive university committed to the development of life-saving discoveries and new technologies to tackle some of the most pressing global challenges.

There are now over 30 academic departments and research centres and the student body has expanded to nearly 16,000.

The campus and the city

Located within walking distance of York city centre, our safe and attractive Heslington campus is home to our nine colleges and most of our departments. We also have several departments located in the city centre at the historic King's Manor.

In recent years, our £750m campus expansion has seen the opening of seven new buildings, increasing our capacity for student numbers and providing more world-class facilities for the 21st century. Sustainability plays a key role in this ambitious development.

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