Quant Guide 2022: University of York

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Of the two University of York programmes represented in the Risk.net Quant Guide this year, the MSc in Mathematical Finance, led by professor of mathematical finance Jacco Thijssen, is the larger, with 23 full-time students. The MSc in Financial Engineering has 18 full-timers.

Applications for this year’s MSc in Mathematical Finance, at 157, were down on the previous year’s 221. But average class sizes have also fallen sharply – a good outcome for its students, who will enjoy more individual focus from the 10 teaching staff. 

While the course content is staying the same for this year, according to Thijssen, and no new staff have been hired, a new aspect of the course that has proven popular with its students is access to video material recorded during the pandemic, particularly in the case of programming topics. 

Instructors include: Zdzisław Brzeźniak, who teaches classes in stochastic processes; Christian Litterer, who leads the MSc’s project component and teaches stochastic calculus, Black-Scholes and modelling for various asset classes; and Alet Roux, who teaches a module in mathematical methods for finance. 

Applications for the MSc in Financial Engineering also fell – although less significantly than for its sister programme – to 184 for this year’s class, from 224 last year. The programme is led by Paola Zerilli, a lecturer in the department of economics, and mathematician Andrea Meireles Rodrigues.

Course content includes a set of mandatory and optional modules. Core classes include: continuous-time finance and derivative assets; financial engineering; financial econometrics; and stochastic calculus. Optional modules include classes in C++ programming with finance applications, as well as individual modules in financial risk management, credit risk and, separately, fixed income securities.

Meireles Rodrigues says the most popular of the optional topics are the classes in fixed income securities, investment and portfolio management and financial risk management. The MSc in Financial Engineering has moved back to in-person teaching, she adds, but continues to offer online classes for students unable to make it to York. 

Other staff on the programme include: economics professor Yongcheol Shin, highly cited for his work in econometrics; economics professor Weining Wang, who teaches a class in financial risk management; and mathematician Alexei Daletskii, who leads classes in mathematical finance and discrete time modelling.

View this institution’s entry in the 2021 guide

View other universities and a guide to the metrics tables

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