Mathematical Finance MSc

This programme, taught jointly by the School of Mathematics and the Department of Economics, provides the skills that will enable technically able graduates (including in mathematics, science and engineering) to apply their quantitative training to financial analysis.

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Daniel Duffy

C++ Author, trainer

“One option is Birmingham... I was external supervisor and reviewer of 10 MSc finance theses in PDE/FDM, MC, MLMC, UVM, ADE option pricing etc. and using C++! These were the best MSc theses I've seen for a long time, at any university. And that is not just my opinion only. The C++ and math level was excellent.”

This programme, taught jointly by the School of Mathematics and the Department of Economics, provides the skills that will enable technically able graduates (including in mathematics, science and engineering) to apply their quantitative training to financial analysis.

A collaboration with Advanced Risk and Portfolio Management (ARPM) allows MSc students to attend ARPM’s prestigious summer ARPM Bootcamp at a discount.  Attending this class also gives an access to the ARPM Lab, an online platform that contains an extensivebody of knowledge for quantitative risk management and quantitative portfolio management. Successful completion of it exempts students from our Risk Analytics module. 

In most cases, we expect that graduates from the Masters will take positions in quantitative analysis (or similar) in major financial institutions, such as in the City. The programme also prepares you to pursue further studies in academia.

Programme Director

Dr Colin Rowat 

Dr Colin Rowat (Director, MSc Mathematical Finance, Economics) has a PhD in Economics from the University of Cambridge, and a Certificate in Advanced Risk and Portfolio Management from Baruch College. He is a member of the CFA Institute.


The programme comprises 180 credits in total (credits are given in brackets).

Term 1 (October – December)

Core Modules

  • Econometrics with Financial Applications  (15 - Term 1)
    forecasting; stochastic volatility; ARCH; GARCH; co-integration; statistical-arbitrage; non-stationarity; unit roots
  • Introduction to Quantitative Finance (10)
    options pricing; Black-Scholes; European and American options; exotic options; fixed income; binomial method; random walks
  • C++ for Finance (10 - Term 1)
    valuation system, simulation, polymorphic factory, design patterns, Boost library
  • Computational Methods and Programming (20)
  • Numerical Methods II (10)

    Interpolation methods (including piecewise polynomial), numerical integration (including Newton-Cotes and Gaussian quadrature), finite difference method for boundary-value problems, convergence acceleration and Richardson extrapolation.

Optional Modules

Relevant modules for those without all the requisite undergraduate mathematics training include: PDEs, Transform Theory,  and Complex Variable Theory for Physicists.  Graduate modules offered elsewhere in the University may also be taken with the Programme Director's approval.

Term 2 (January - March)

Core Modules

  • Econometrics with Financial Applications (15 - Term 2)
    forecasting; stochastic volatility; ARCH; GARCH; co-integration; statistical-arbitrage; non-stationarity; unit roots
  • Exotic options, bonds and further quantitative finance (10)
    options pricing; Black-Scholes; European and American options; exotic options; fixed income; binomial method; random walks
  • C++ for Finance (10 - Term 2)
    valuation system, simulation, polymorphic factory, design patterns, Boost library
  • Risk Analytics* (10)
    copulas; Value-at-Risk; expected shortfall (cVaR); mean-variance portfolio optimization; PCA; stress testing; Black-Litterman; live trading
  • Numerical Linear Algebra with Applications (10)
    iterative methods for sparse linear systems, numerical methods for eigenvalue problems, FEM matrix analysis, fast Poisson solvers, eigenvalue computation for elliptic problems.

* Alternatively, students can attend the Advanced Risk and Portfolio Management Bootcamp in advance. 

Optional Modules

Relevant modules for those without all the requisite undergraduate mathematics training include: Numerical Methods in Linear Algebra, Programming. Graduate modules offered elsewhere in the University may also be taken with the Programme Director's approval.

Term 3 (May - June)

Examination Period
July - September
Dissertation (40)

Students are encouraged to pursue internships while writing their dissertations.

The optional modules listed on the website for this programme may unfortunately occasionally be subject to change. As you will appreciate key members of staff may leave the University and this necessitates a review of the modules that are offered. Where the module is no longer available we will let you know as soon as we can and help you make other choices.

Fees and funding

£16,920 (UK/EU and overseas). Please check with the Department for the latest fees information.
Part Time: home/EU/overseas -  £8,460

Learn more about fees and funding

Fees for the MSc are the same for all students to ensure that we only have incentives to admit the most qualified students, regardless of nationality.  See the University's student accommodation page for information on housing. See the International Office page for information on the overall costs of a degree in Birmingham.

Scholarships and studentships

A variety of scholarships are available to help students on the MSc in Mathematical Finance fund their studies. All applicants are automatically considered for Fisher Scholarships, awarded to attract the most able students to the MSc, regardless of nationality.The Fisher Scholarships, available from 2008, have been made possible by a generous private gift from Andrew Fisher (Birmingham economics, 1982; CEO, Towry). 

More information on funding opportunities is provided by the Student Funding Office. For scholarships with automatic eligibility, students will be informed of decisions over the summer, once final exam results are known.

Postgraduate Loans for Masters students

The new postgraduate loans system for Masters degrees in the UK will be introduced for students commencing in the 2016-17 academic year. As part of the UK’s Chancellor’s 2014 Autumn Statement, the government has reconfirmed its commitment to loans for postgraduate Masters degrees as part of the 2015 Spending Review.

The government-backed student loans will provide up to £10,000 for taught and research Masters courses in all subject areas.  Detailed criteria and information regarding the application process is expected in early 2016.  For more detailed information view our Postgraduate funding page

  • Questions about funding? Use our Student Help knowledge base to find the answer.

Entry requirements

A good Honours first degree (or overseas equivalent) in Mathematics or a related numerate subject such as Physics or Engineering, or an appropriate Joint Honours degree in industrial mathematics.

Good students whose undergraduate degree did not prepare them sufficiently for the MSc mathematics, may wish to consider the School of Mathematics Pre-Masters Certificate in Mathematics. Students attaining an average of at least 60% qualify for the MSc in the  following year; those attaining 64% or higher qualify for a 20% fee discount on the MSc.

Learn more about entry requirements

International students
We accept a range of qualifications from different countries – learn more about international entry requirements 

Standard English language requirements apply

English language requirements

Non-native speakers of English can find our English language requirements listed under Business (open the IELTS/TOEFL/PTE section). Applicants who have studied in English at the university level do not need to provide further evidence of proficiency.  The University of Birmingham offers pre-sessional English courses for students wishing to improve their English before beginning their academic studies.

How to apply

When clicking on the Apply Now button you will be directed to an application specifically designed for the programme you wish to apply for where you will create an account with the University application system and submit your application and supporting documents online. Further information regarding how to apply online can be found on the How to apply pages

Apply now

Programme news

January 2017: Birmingham extends its partnership with Advanced Risk and Portfolio Management (ARPM)

ARPM - Advanced Risk and Portfolio Management is an education company founded by Attilio Meucci. ARPM's objective is to advance and disseminate the standards for quantitative risk management and quantitative decision making.

ARPM delivers the ARPM Bootcamp, an intensive, heavily quantitative, comprehensive 6-day course, for a total of 50 hours (lectures + practice sessions). The ARPM Bootcamp grants access to the ARPM Lab and provides networking opportunity with hundreds of industry practitioners. 

Students at University of Birmingham can attend the ARPM Bootcamp as an elective course, and gain credits toward the completion of their degree.  

Summer 2016: Birmingham welcomes Daniel Duffy back as an external dissertation supervisor

Daniel DuffyDaniel J. Duffy is founder of Datasim Education and Datasim Financial. He has been working in industry since 1979 in areas such as oil and gas, CAD, engineering and computational finance as programmer, designer, author and trainer. He has written more than ten books on C++, C#, Finite Difference Method applied to finance. He is the originator of the very popular Baruch College course on C++. He also supervises MSc and PhD students. Daniel Duffy has an Irish passport and lives in the Netherlands. He has a PhD in Numerical Analysis from the University of Dublin (Trinity College).

Autumn 2016: Birmingham hires Nick Webber to teach C++ for Finance

Nick WebberNick Webber learnt to programme with Algol 60 and has been programming ever since. Currently he is a Principal Lecturer at De Montfort University, Leicester,  where,  amongst other things, he develops computational methods for the numerical valuation of financial derivatives.  Prior to joining DMU he was Reader in Finance at Warwick Business School.  His research focus is on Monte Carlo methods; he has also developed fast lattice methods.  He is the author of  "Interest Rate Modelling" (Wiley,  2000) and "Implementing Models of Financial Derivatives in OOP VBA" (Wiley, 2011). 

Before his academic incarnation Nick worked in system design and implementation in industry,  both in IT groups and as a consultant. He has taught computational finance in C++ and VBA for many years,  in Universities and to practitioners.  He combines a research and theory oriented perspective with a long of experience with real applications. Nick has a PhD in Theoretical Physics from Imperial College, London.

Special events

The programme gives students access to special events that will enhance their experience. Previous events include master classes in C++ for finance with Daniel J. Duffy.

"Thank you very much for the C++ training. I have worked with my student in China using C++ and API to build up a securities trading platform. This programme is over 20,000 lines. C++ is very useful. I still keep in contact with Daniel Duffy."  Zhenya Liu (Board of Directors of J.P. Morgan Futures Co., Ltd)

Guest Speakers

Students have been addressed by seminar speakers from: ABN AMRO, BetOnMarkets, BNP Paribas, CrowdAlpha, Deutsche Bank, Evolutionary Technology, Legal & General Investment Management, Marex Spectron, Morgan Stanley, npower, the Numerical Algorithms Group, the Royal Bank of Canada, Royal Bank of Scotland, Royal London Asset Management and StreamBase.


In July 2011, we enrolled in StreamBase University, giving our students access to Streambase's complex events processing software.

Students enrolled on the MSc Mathematical Finance programmes also have access to a password-protected discussion list and wiki.

Graduates from this MSc programme will be well prepared to compete for quantitatively demanding positions in financial institutions. The degree should also prepare them for postgraduate research, either for purely academic ends or to further qualify them for work in financial institution.

Destinations of recent graduates include Bank of America/Merrill Lynch, BNP Paribas, China Jianyin Investment Securities, Deutsche Bank, the FSA, LGIM, Société Générale and

Aravind"The MSc laid the foundation for my investment banking career, giving me a strong understanding of the relevant economic theory and mathematics. Together, this allows me to understand the various products/trades used in the market today."

Aravind; Quant Developer, BNP Paribas, London.
He has a first class undergraduate degree in Computer Science from Anna University, helped code Ninja Trader and has worked as a Java developer.

kun-du"The quantitative finance that I learned are essential to my work at Changsheng Fund Management, helping me pick the right trading strategies, and conduct pre-trade analysis and post-trade consultations."

Kun Du has an undergraduate degree in Maths from Birmingham, and was a member of the Investment Society as a student. Changsheng is one of China's first and largest fund management houses.

jeremy-ridea"The MSc helped me get a summer internship with BetOnMarkets in the middle  of the credit crunch. I used my training to improve our volatility modeling, saving us hundreds of thousands of dollars; I’ve now been sent back to the UK to open up our London offices this autumn. Our teachers have been very supportive, both during the MSc and afterwards."

Jeremy is a structure for Legal & General Investment Management. His quant skills are underlaid with an undergraduate degree from the Université des Sciences Sociales in Toulouse and an MSc in Economics from the University of Leicester. 

"sanjeewaniThis MSc helped me supervise various kinds of quantitative analytical projects and give fast, yet efficient and reliable recommendations to my team. I clearly see a great difference in my overall quantitative finance knowledge and feel much more confident than the previous year."

Sanjeewani works as an Associate VP in Quant Research for Amba Research. She has a first class degree in Chemical and Process Engineering from University of Moratuwa and develops quantitative and statistical models for European and US Hedge funds.

hung-economics-2"When Ernst & Young hired me, I used my math finance degree to be allocated to projects related to quantitative finance: I'm almost the only staff member with both mathematical and economic knowledge."

Hung has an undergraduate degree is from the Singapore Institute of Management; he placed top globally on a number of his University of London external exams.

evans-sized"Mathematical Finance gave me a headstart in understanding the underlying theories of the financial sector's workings. I am able to apply many of the techniques learned in my day-to-day work at the Financial Services Authority (FSA)."

Rachel has an undergraduate degree in Maths and Music, during which she also worked as a music teacher.  She earned a distinction studying her MSc. 

Arun"The MSc equipped me to work as a market risk analyst in a commodity broking firm. The coursework and projects were structured to meet the demands of the financial services industry; those running it are approachable and helpful, taking great efforts to constantly tune it to the industry’s changing needs - making the MSc more than an academic experience."

Arun is a risk analyst at Marex Spectron. He has a first class undergraduate degree from the College of Engineering at Guindy. He worked in programming and trade support for three years prior to the MSc, and the Bank of America afterwards.