Quant Guide 2022: University of Technology Sydney

Sydney, Australia

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Photo: Sleepytiger
 

 

University of Technology Sydney’s Master of Quantitative Finance is led by academic director Nadima El-Hassan, whose research focuses on complex derivatives, term structure modelling and risk management. The programme reports an 85% employment rate, with graduates finding positions primarily in banking, asset management and consulting. 

It is one of a number of programmes in this year’s Risk.net Quant Guide with a large proportion of part-time students, with 10 in the latest intake and 14 full-timers. For the latter group, the course is completed in 12 months; for the former, it takes 24.

Modules on offer are split across autumn, spring and summer semesters for full-time students. For those beginning study in the autumn semester, classes are taken in: derivative securities pricing, which involves continuous-time arbitrage pricing, partial differential equations, and exotic options; financial market instruments, including material on equities and foreign exchange, forward rates and yield curve calculations; and statistics and financial econometrics, which includes programming in the R and Julia languages. 

In the spring semester, students can expect to tackle classes in: interest rates and credit risk models, dealing with fixed income products, credit risk management, and default contagion; probability theory and stochastic analysis, which examines the techniques used in derivative pricing and hedging, interest rate modelling and risk management; and a dedicated risk management course, in which students investigate value-at-risk, expected shortfall, Monte Carlo simulation, and other material. 

In the summer semester, classes are taught in: quantitative portfolio analysis, focusing on portfolio construction, factor models and performance measurement; numerical methods in finance, which involves simulation methods for the solving of stochastic differential equations; and a class in computational methods and model implementation, which includes a research project element.

View this institution’s entry in the 2021 guide

View other universities and a guide to the metrics tables

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