Syllabus - Master's Programme in Financial Engineering

Programme code: ZMS20
Valid from: Autumn 18 Autumn 17 Autumn 15 Autumn 14 Autumn 13
Decision instance: Fakultetsnämnden
Eligibility:

A completed Bachelor's degree from an institution of higher education of three years or more, equivalent to 180 credits, of which at least 60 credits in Mathematics including probability theory and statistics. A TOEFL test result, with a minimum score of 575 with a TWE score of at least 4.5 (PBT) or 90 with a TWE score of at least 20 (iBT) or an IELTS test result with an overall band score of at least 6.5 and no band score below 5.5 or equivalent is required.

Registration number: 2018/1113
School: UKK
Ratification date: 2012-01-20
Revised: 2018-05-23

Outcomes

The Master’s Programme in Financial Engineering will satisfy the growing need of scientifically educated personnel within the finance sector. The Master’s Programme in Financial Engineering aims to give the students a good basis for working as financial consultants in financial institutions, which conduct derivative valuation and security management, research departments of banks, insurance companies, and in other private and state organisations on the finance market.

Knowledge and Understanding

On completion of the degree programme the student shall be able to:

  • demonstrate knowledge and understanding in the main field of study, including both broad knowledge of the field and a considerable degree of specialised knowledge in certain areas of the field as well as insight into current research and development work, and
  • demonstrate specialised methodological knowledge in the main field of study.
Local outcomes:
  • demonstrate comprehensive knowledge and understanding of fundamental mathematical concepts and principles and how they are applied in problem-solving,
  • demonstrate comprehensive knowledge and understanding of fundamental mathematical concepts, models and methods used in the valuation of financial instruments and their derivatives and be able to explain assumptions and limitations in these models, concepts and methods,
  • demonstrate comprehensive knowledge and understanding of how theories, concepts and methods for optimal capital allocation and risk analysis can be applied to form optimal asset portfolios,
  • demonstrate knowledge and understanding of theories and methods concerning linear and non-linear optimisation, and also
  • demonstrate basic knowledge of programming languages and software of importance to the finance branch.

Aptitudes and Accomplishments

On completion of the degree programme the student shall be able to:

  • demonstrate the ability to critically and systematically integrate knowledge and analyse, assess and deal with complex phenomena, issues and situations even with limited information
  • demonstrate the ability to identify and formulate issues critically, autonomously and creatively as well as to plan and, using appropriate methods, undertake advanced tasks within predetermined time frames and so contribute to the formation of knowledge as well as the ability to evaluate this work
  • demonstrate the ability in speech and writing both nationally and internationally to clearly report and discuss his or her conclusions and the knowledge and arguments on which they are based in dialogue with different audiences, and
  • demonstrate the skills required for participation in research and development work or autonomous employment in some other qualified capacity.
Local outcomes:
  • give financial problems expressed in non-mathematical language a mathematical formulation and use this for problem-solving,
  • make mathematical models of financial problems and apply mathematical expertise in non- mathematical contexts,
  • use calculation programmes as aids for advanced mathematical processes and for information retrieval and also have a basic knowledge of programming languages and software of importance to the finance branch.
  • express the valuation of financial instruments and their derivatives as mathematical problems and with the aid of calculation programmes solve these problems,
  • formulate complex problems which require optimisation and decision-making and interpret the solutions in the problem's original context,
  • give clear and correct, with regard to both language and content, customised oral and written presentations in English,
  • communicate effectively in accordance with the accepted academic norms of the programme's field of study and write both detailed and well-structured reports with advanced content, and also
  • demonstrate initiative and personal responsibility in his/her future professional life.

Ability to Evaluate and Assess

On completion of the degree programme the student shall be able to:

  • demonstrate the ability to make assessments in the main field of study informed by relevant disciplinary, social and ethical issues and also to demonstrate awareness of ethical aspects of research and development work
  • demonstrate insight into the possibilities and limitations of research, its role in society and the responsibility of the individual for how it is used, and
  • demonstrate the ability to identify the personal need for further knowledge and take responsibility for his or her ongoing learning.
Local outcomes:
  • evaluate his/her own strengths and weaknesses, and with conviction question opinions,
  • develop and apply, with personal confidence, his/her own conclusions and assessments and make use of feedback, and also
  • assess complex situations in business and financial activities and take into account scientific, social and ethical aspects.

Language of instruction

The language of instruction is English, which includes all teaching, examination and literature, etc.

Contents

The Master's Programme in Financial Engineering is a two-year natural science programme in Mathematics/Applied Mathematics, which deepens the student's knowledge of mathematics. The programme consists of a compulsory component of 90 credits in Mathematics/Applied Mathematics. Included in this is a degree project. The remaining 30 credits may be chosen freely; within the programme further courses are offered in Mathematics/Applied Mathematics.

The compulsory courses account for the mathematical core of the programme. The concluding compulsory course consists of a degree project comprising 30 credits in Mathematics.

The focus of the programme is placed on real problems in working life, and the literature has been chosen to support this specialisation.

Teaching on the programme consists of lectures, problem-solving lessons and seminars. During the lectures the teacher gives a short introduction to the following part of the course. During the problem-solving lesson the students, under the guidance of the teacher, solve commensurate problems. During these lessons, small groups of students can also present their solutions. The seminars are prepared by the students, in groups, selecting a relevant subject and in groups write a report on the subject, which is presented at the seminar. The student is expected to set aside non-scheduled time for group work and individual study.

The courses are examined both by written final examinations and continually during the progress of the course, in the form of, for example, seminar reports, problem-solving assignments and written tests of knowledge. Three different types of examination methods are employed: portfolio examination, seminar examination and written examination. To pass the portfolio examination the student hands in the answers to the assigned problem-solving exercises to the teacher. To pass the seminar assignment the student will write a report and orally present this at the seminar. Written tests of knowledge during the progress of the course can occur.

The programme consists of courses divided into years as indicated below.

Year 1
Mathematics/Applied Mathematics:
Analytical Finance I, 7.5 credits
Analytical Finance II, 7.5 credits
Portfolio Theory I, 7.5 credits
Software for mathematical statistics and financial applications, 7.5 credits
Stochastic Processes, 7.5 credits

Elective 22.5 credits:
Mathematics/Applied Mathematics:
Actuarial Mathematics, 7.5 credits
Operations Research, 7.5 credits
Portfolio Theory II, 7.5 credits
Simulation, 7.5 credits
Time Series Analysis, 7.5 credits

Year 2
Mathematics/Applied Mathematics:
Differential Equations in Finance, 7.5 credits 
Degree Project in Mathematics, 30 credits
Python in Financial Engineering, 15 credits

Elective 15 credits:
Mathematics/Applied Mathematics:
Applied Matrix Analysis, 7.5 credits
Optimisation, 7.5 credits

Minor changes in the course list may occur due to continuous quality work.

Choices within the program

As a student you are guaranteed a place in the above courses of 30 credits per semester in full-time studies or the equivalent in part-time studies. During both years of study, further courses in Mathematics/Applied Mathematics can be included in the programme. The choice of courses presupposes that the student is eligible for the desired course.

The choice of courses can affect the possibilities of fulfilling the degree requirements.

University degree

The degree programme is so designed that the studies will lead towards fulfilment of the requirements for the following degree(s):

  • Master of Science (120 credits) in Mathematics/Applied Mathematics with Specialization in Financial Engineering.
If the programme contains elective or optional components, or if a student chooses not to complete a certain course, the choices made can affect the possibility of fulfilling the degree requirements. For more information about degrees and degree requirements, consult the local degree regulations which are published on the University website.