Quant Guide 2020: University of York

York, UK

 

The University of York has two quantitative finance programmes represented in Risk.net’s quant guide once again: the MSc in Mathematical Finance, overseen by professor of mathematical finance Jacco Thijssen, and the MSc in Financial Engineering, led by Alet Roux, professor of mathematics, and Paola Zerilli, professor of economics. The two became co-directors recently; last year, mathematics professor Tomasz Zastawniak supervised both programmes. He remains on board as a faculty member.

Classes are small in size – the MMF has 27 students in the latest cohort, and the MFE has 25. The former programme has grown since the previous year, when it reported an intake of 14 students. Both run for one year full-time, and have the same fees: £12,060 ($15,700) for domestic students and £24,420 for international students.

The two programmes differ significantly when it comes to curriculum. The MFE is taught between the departments of economics and mathematics, while the MMF is taught by the mathematics department alone. The MMF also features a research project component. The only mandatory modules the programmes share are a class in stochastic calculus and Black-Scholes theory, and another in mathematical methods for finance.

The MFE’s core courses are economics-heavy, and include econometric methods, continuous-time finance and derivative assets, and time series. The MMF’s core classes include discrete time modelling and derivative securities, and the modelling of bonds, term structure and interest rate derivatives.

There is more common ground among electives: both programmes offer computational finance, C++ programming with applications in finance, and credit risk classes as choices. The dissertation component is comparable for both programmes, and former director Zastawniak oversees the dissertation modules – both worth 60 academic credits – for each programme.

View this institution’s entry in the 2019 guide

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• Topics
• Quantitative analysis
• United Kingdom (UK)
• Quantitative finance
• Quantitative finance