Quant Guide 2021: University of Warwick

Coventry, UK

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The University of Warwick’s 12-month MSc in Mathematical Finance (MSMF) is taught jointly by the university’s departments of statistics, mathematics and Warwick Business School. Led by academic directors Alex Mijatovic and Roman Kozhan – professors of statistics and finance respectively – the course has grown in size slightly over the past year, with a larger intake of students and a bigger crop of applications compared with its appearance in last year’s Risk.net Quant Guide.

Over three terms, students work on a set of mandatory or ‘core’ modules, a set of electives, plus a master’s dissertation.

In the first term, core classes focus on fundamental topics such as: machine learning for finance; financial statistics; stochastic calculus; asset pricing and risk; and programming for quantitative finance. In the second term, there are three compulsory modules to be tackled – applications of stochastic calculus for finance; a second programming class; and financial econometrics – plus two electives, chosen from a wide range of options.

The electives on offer include: statistical learning and big data; advanced trading strategies; partial differential equations for finance; advanced risk management; and behavioural finance. The third term is devoted to dissertation work.

The MSMF also emphasises student access to a pair of notable centres housed in the statistics department: the Centre for Research in Statistical Methodology (CRiSM), a research body that offers workshops, seminars and a PhD programmer, led by statistician and applied probabilist professor Gareth Roberts; and Stochastic Finance at Warwick (SF@W), a group that runs stochastic finance seminars and a reading group, as well as a spring school in collaboration with Shanghai’s Fudan University.

Over the past year, the programme has also made changes to teaching in response to the coronavirus. Live teaching sessions are recorded for remote students, staff run additional virtual office hours, and academic tutors provide guidance to students along with a dedicated programme support team.

View this institution’s entry in the 2020 guide

View other universities and a guide to the metrics tables

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