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Birkbeck, University of London, MSc, Financial Engineering

Birkbeck, University of London
 United Kingdom
Introductory programme: Students choose 1 or both from: introduction to finance; quantitative techniques; year 1: mathematical and numerical methods: part 1: treats those aspects of the theory of stochastic calculus necessary for modern quantitative finance, including some numerical stochastics; part 2: numerical techniques for finance, illustrated by MATLAB and includes materials on differential equations and C++; econometrics comprising a thorough introduction to time series modelling applied to financial problems and statistical theory; year 2: mathematical risk management; part 1: covering basic modelling of VaRs, credit risk and asset allocation in discrete time; part 2: more advanced topics such as the 'axiomatic' approach to risk, copulas, extreme value theory and asset allocation in continuous time; or commodities: provides an introduction to commodities, in particular energy commodities, oil, natural gas and coal, as well as agricultural and metal commodities; pricing: continuous time derivative pricing using both PDE and martingale approaches, applied to option pricing; interest rate modelling and credit risk modelling; dissertation.

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Location

Study in the heart of central London. Birkbeck is located in Bloomsbury, the traditional academic centre of London. World-class research resources, such as the British Library and the British Museum, are within a short walk of Birkbeck. London’s many attractions, including the West End, European’s longest shopping street and the lively bars and restaurants of Soho, are all within walking distance of Birkbeck.


Birkbeck is also located close to many major London Underground Stations, bus links and rail and airport transport hubs.