Quant Guide 2021: University of Oxford

Oxford, UK

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The University of Oxford’s 10-month MSc in Mathematical and Computational Finance has grown significantly in size over the past year, despite pandemic pressures: the programme, taught at Oxford’s mathematical institute, has 36 students in the latest cohort, up from 24 in the previous year.

Professor of mathematical finance Álvaro Cartea, who led the course last year, has been replaced by Justin Sirignano, associate professor of mathematics. Sirignano, whose research focuses on machine learning applications for finance, is also an assistant professor at another Risk.net Quant Guide regular, the University of Illinois at Urbana-Champaign. Cartea remains a member of the programme’s teaching staff.

Besides hosting a greater number of students in total, Oxford’s MSc also had more applications compared with its previous outing. For the latest class, 265 applications were received, 60 offers were made, and 39 were accepted. Last year, 221 applications were received, 47 offers extended, and 36 accepted. The course has therefore become slightly less selective: 21.3% of applicants were successful last year, versus 22.6% for the most recent class. It was also slightly less popular among offer holders, with an offer-holder acceptance rate this year of 65%, versus last year’s 76.6%.

Courses on offer include a group of mandatory classes, a computing course and a set of elective classes that take place in the programme’s second term. Each elective course – including topics in stochastic volatility, Monte Carlo methods, market microstructure, and asset pricing – comprises eight lectures and two classes. The compulsory courses across the first and second terms include topics in deep learning, quantitative risk management, financial derivatives, and statistics and data analysis.

In response to the coronavirus, the MSc has moved some elements of the programme online. Autumn teaching was conducted “mostly in person”, Sirignano says, and then, due to the UK’s national lockdown, teaching between January and March has taken place virtually. He adds that it’s likely that yearly internships, which take place in the spring, will be conducted remotely.

View this institution’s entry in the 2020 guide

View other universities and a guide to the metrics tables

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