MSc Quantitative Finance, MSc Financial Engineering | metrics table at end of article
This MSc in quantitative finance is offered by the Department of Mathematics, with an input from the Department of Economics and the Department of Statistics and Applied Probability. At the moment, this programme admits students once a year, with studies beginning in August.
The course targets students with a strong background in maths, and every student enrolled is required to complete six compulsory and four optional modules in order to graduate. Each module typically involves three hours of lectures a week and lasts one semester (13 weeks). Full-time students can complete the programme in one year, whereas part-time students have up to four years to finish their studies, as they can only read up to two modules per semester.
The part-time option is open only to home students, as applicants from abroad generally do not have permission to study in Singapore part-time. In order to be able to do that they would need an up-to-date employment pass, which is usually only issued to high-skilled foreign professionals.
The core modules cover mathematical finance, financial modelling, financial time series, interest rate theory and credit risk, structured products, and risk management. Currently, there are 13 electives to choose from, which include advanced statistical methods in finance, multivariate data analysis, macroeconomic theory and computational mathematics.
The MSc in financial engineering is a combination of financial, mathematical and computing components, aimed at training graduates to solve problems in finance. It covers financial product development, price modelling, hedging, investment technology and risk analysis, as well as computational methods.
The degree was established in 1999 by the Centre for Financial Engineering at NUS, which has been succeeded by the Risk Management Institute. The programme is taught by academic staff from across the university, including departments of finance, mathematics, statistics and applied probability, economics, and industry practitioners.
Once they get a seat on the programme, students must choose at least four elective modules, which would complement five compulsory courses. Every student graduating with a master’s degree in financial engineering from NUS will have completed modules on derivatives and fixed income, risk analysis and management, stochastic calculus and quantitative methods, programming and advanced numerical methods, and financial econometrics.
As part of the degree, students also have to complete a financial engineering project. It can take different forms: some students may work on an existing problem that a partner company is facing that requires financial engineering solutions, whereas some could work on the development of a new product or process related to the field of financial engineering. Case studies could be another way of approaching the task.
Optional modules provide students with plenty of choice, including seminars on financial engineering and financial product innovation. An elective on C++, for example, covers the basic components of this programming language and teaches students how to create algorithms in order to solve problems. In this course, students are taught the practical application of concepts, which are supplemented with examples from the financial engineering field.
This programme is available for full-time, part-time and distance-learning students. The full-time programme takes 18 months to complete and accepts both domestic and overseas applicants. The distance-learning option, however, is open only to those living outside Singapore. Singapore-based students are expected to attend campus-based lectures and take their exams at university. Those who are enrolled but struggle to attend their chosen lectures regularly can count on discretionary access to lectures online.
Industry practitioners frequently come to deliver on-campus lectures. The most recent industry speaker was Frankie Phua, the head of credit and country risk management at United Overseas Bank. The topic of his presentation was ‘The evolving role of an effective risk manager’.