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1. Admissions/ Management Information
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Title of the programme – including any lower awards
Please provide the titles used for all awards relating to this programme. Note: all programmes are required to have at least a Postgraduate Certificate exit award.

See guidance on programme titles in:
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Masters Mathematical Finance
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Postgraduate Diploma Mathematical FinancePlease indicate if the Postgraduate Diploma is available as an entry point, ie. is a programme on which a student can register, is an exit award, ie. is only available to students exiting the masters programme early, or both.Exit
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Postgraduate Certificate Mathematical FinancePlease indicate if the Postgraduate Certificate is available as an entry points, ie. is a programme on which a student can register, is an exit award, ie. is only available to students exiting the masters programme early, or both.Exit
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Level of qualificationLevel 7
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This document applies to students who commenced the programme(s) in:2022/23
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Awarding institutionTeaching institution
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Unviersity of York University of York
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Department(s):
Where more than one department is involved, indicate the lead department		Board of Studies
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Lead Department MathematicsMathematics
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Other contributing Departments: n/a
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Route code
(existing programmes only)		PMMATSFIN1
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Admissions criteria
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Either: an undergraduate degree equivalent to a class 2:1 or higher UK degree in a mathematics-based subject (in a widely understood sense, including certain degrees in science); or an undergraduate degree equivalent to a class 2:2 or higher UK degree in a mathematics-based subject (in a widely understood sense, including certain degrees in science) and completing the online pre-sessional course "Mathematical Foundations of Quantitative Finance" with a final grade of at least 60%.
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Length and status of the programme(s) and mode(s) of study
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ProgrammeLength (years/ months) Status (full-time/ part-time)
Please select		Start dates/months
(if applicable – for programmes that have multiple intakes or start dates that differ from the usual academic year)		Mode
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Face-to-face, campus-basedDistance learningOther
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MSc in Mathematical Finance1 yearFull-timen/aPlease select Y/NYesPlease select Y/NNon/a
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Postgraduate Diploma in Mathematical Finance1 yearFull-timen/aPlease select Y/NYesPlease select Y/NNon/a
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Postgraduate Certificate in Mathematical Finance1 yearFull-timen/aPlease select Y/NYesPlease select Y/NNon/a
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Language(s) of study
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English
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Language(s) of assessment
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English
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2. Programme accreditation by Professional, Statutory or Regulatory Bodies (PSRB)
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2.a. Is the programme recognised or accredited by a PSRB
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Please Select Y/N: Noif No move to section 3
if Yes complete the following questions
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3. Additional Professional or Vocational Standards
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Are there any additional requirements of accrediting bodies or PSRB or pre-requisite professional experience needed to study this programme?
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Please Select Y/N: Noif Yes, provide details
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4. Programme leadership and programme team
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4.a. Please name the programme leader for the year to which the programme design applies and any key members of staff responsible for designing, maintaining and overseeing the programme.
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Prof. Jacco Thijssen (Programme Leader)
Prof Michael Bate (CBoS)
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5. Purpose and learning outcomes of the programme
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5.a. Statement of purpose for applicants to the Masters programme
Please express succinctly the overall aims of the programme as an applicant facing statement for a prospectus or website. This should clarify to a prospective masters student why they should choose this programme, what it will provide to them and what benefits they will gain from completing it.

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In this one-year taught Masters, you will conduct research in various advanced mathematical and computational techniques (stochastic analysis, numerical and statistical methods) at a level relevant to practitioners in modern finance industry. Through doing research in current literature in Mathematical Finance, you will be able to develop expertise in using the knowledge and technical skills acquired during the course of the programme in typical situations arising in practical contexts in finance, particularly in relation to trading in various kinds of derivative securities and financial risk management. You will be taught by world leading experts in the field of Mathematical Finance. The programme team are co-authors of a series of leading textbooks in this area and you will benefit from this pedagogic expertise. After completing the programme, you will have acquired the knowledge and experience necessary to work in a trading or research and development role in quantitative finance industry or to embark on a PhD programme in Mathematical Finance or related fields.
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5.a.i Statement of purpose for applicants registering for the Postgraduate Diploma programme
Please express succinctly the overall aims of the programme as an applicant facing statement for a prospectus or website. This should clarify to a prospective diploma student why they should choose this programme, what it will provide to them and what benefits they will gain from completing it.
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This taught†Postgraduate Diploma programme trains graduates to work as professional financial analysts in the financial industry. In a nutshell, this programme will equip you with the necessary skills to provide solutions to problems from current methodologies in the financial sector.† You will be taught by a team who produces world-class research and will have full access to this expertise.
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5.a.ii Statement of purpose for applicants registering for the Postgraduate Certificate programme
Please express succinctly the overall aims of the programme as an applicant facing statement for a prospectus or website. This should clarify to a prospective certificate student why they should choose this programme, what it will provide to them and what benefits they will gain from completing it.
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This taught Postgraduate Certificate programme trains graduates to work as professional financial analysts in the financial industry. In a nutshell, this programme will equip you with the necessary skills to appropriately tackle problems from the applied workplace†using contemporary financial methodologies.† You will be taught by a team who produces world-class research and will have full access to this expertise.
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5.b.i. Programme Learning Outcomes - Masters
Please provide six to eight statements of what a graduate of the Masters programme will be able to do.
If the document only covers a Postgraduate Certificate or Postgraduate Diploma please specify four to six PLO statements in the sections 5.b.ii and 5.b.iii as appropriate.
Taken together, these outcomes should capture the distinctive features of the programme. They should also be outcomes for which progressive achievement through the course of the programme can be articulated, and which will therefore be reflected in the design of the whole programme.
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PLOOn successful completion of the programme, graduates will be able to:
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1use with a high degree of confidence and sofistication a range of mathematical models of financial securities: stocks, bonds (including the term structure of interest rates), and derivative securities.
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2critically analyse the application of mathematical techniques involved in pricing, hedging and analysis of derivative securities, in both discrete and continuous time market models.
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3use logical reasoning as a basis for the critical analysis of ideas or statements which have a mathematical finance context, and develop independently their own ideas using well-founded reasoning.
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4design numerical algorithms and develop computing codes in spreadsheets, programming languages and/or symbolic computation software to implement solutions and prepare relevant documentation.
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5communicate advanced topics in mathematical finance analyses and associated conclusions clearly, in writing or in a presentation, at a level appropriate for the intended audience.
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6research selected topics of current interest in Mathematical Finance in depth; link recent theoretical developments with modern financial market practice.
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5.b.ii. Programme Learning Outcomes - Postgraduate Diploma
Please provide four to six statements outlining what a graduate of the Postgraduate Diploma programme will be able to do.
Taken together, these outcomes should capture the distinctive features of the programme. They should also be outcomes for which progressive achievement through the course of the programme can be articulated, and which will therefore be reflected in the design of the whole programme.
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PLOOn successful completion of the programme, graduates will be able to:
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1use with a high degree of confidence and sofistication a range of mathematical models of financial securities: stocks, bonds (including the term structure of interest rates), and derivative securities.
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2critically analyse the application of mathematical techniques involved in pricing, hedging and analysis of derivative securities, in both discrete and continuous time market models.
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3use logical reasoning as a basis for the critical analysis of ideas or statements which have a mathematical finance context, and develop independently their own ideas using well-founded reasoning.
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4design numerical algorithms and develop computing codes in spreadsheets, programming languages and/or symbolic computation software to implement solutions and prepare relevant documentation.
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5communicate advanced topics in mathematical finance analyses and associated conclusions clearly, in writing or in a presentation, at a level appropriate for the intended audience.
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5.b.iii. Programme Learning Outcomes - Postgraduate Certificate
Please provide four to six statements outlining what a graduate of the Postgraduate Certificate programme will be able to do.
Taken together, these outcomes should capture the distinctive features of the programme. They should also be outcomes for which progressive achievement through the course of the programme can be articulated, and which will therefore be reflected in the design of the whole programme.
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PLOOn successful completion of the programme, graduates will be able to:
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1use with a high degree of confidence and sofistication a range of mathematical models of financial securities: stocks, bonds (including the term structure of interest rates), and derivative securities.
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2critically analyse the application of mathematical techniques involved in pricing, hedging and analysis of derivative securities, in both discrete and continuous time market models.
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3use logical reasoning as a basis for the critical analysis of ideas or statements which have a mathematical finance context, and develop independently their own ideas using well-founded reasoning.
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4design numerical algorithms and develop computing codes in spreadsheets, programming languages and/or symbolic computation software to implement solutions and prepare relevant documentation.
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5.c. Explanation of the choice of Programme Learning Outcomes
Please explain your rationale for choosing these PLOs in a statement that can be used for students (such as in a student handbook). Please include brief reference to:
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i) ... in what way will these PLOs result in an ambitious, challenging programme which stretches the students?
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Taken as a whole, the PLOs describe the knowledge and skills which require a good background in undergraduate mathematics as a starting point. UG students with an interest in mathematical finance, and professionals who have some experience of quantitative analysis in finance, will recognise these as challenging.
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ii) ... in what way will these PLOs produce a programme which is distinctive and advantageous to the student?
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As the SoP explains, these skills enable graduates to gain entry into high-level financial positions. Each relates to a different element of the complex work at that level: critical analysis of models; application of the industry-standard methods; clear communication of knowledge and ideas; management of financial risk; utilise software in the financial context; independent deeper study of some specialised area in mathematical finance.
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iii) ... how the design of the programme enables students from diverse entry routes to transition successfully into the programme? For example, how does the organisation of the programme ensure solid foundations in disciplinary knowledge and understanding of conventions, language skills, mathematics and statistics skills, writing skills, lab skills, academic integrity
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The programme is carefully designed to ensure students gain a solid background in mathematical finance techniques.†This is achieved by offering core courses that are the primary building blocks of any sound mathematical finance techniques. The delivery of these†materials is assisted throughout by computer lectures and seminar classes, designed to facilitate students' theoretical and practical understanding. Additionally, we offer access to further relevant materials and staff offer office hours during which students are invited to come and clear any questions (theoretical or practical) they may have. Through feedback on†regular coursework and project†work, students gain exposure and experience in writing.
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iv) ... how the programme is designed to enable students to progress successfully - in a limited time frame - through to the end of the award? For example, the development of higher level research skills; enabling students to complete an independent study module; developing competence and confidence in practical skills/ professional skills. See QAA masters characteristics doument http://www.qaa.ac.uk/en/Publications/Documents/Masters-Degree-Characteristics-15.pdf
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The programme embeds both optional and†core modules to stimulate the students' engagement with material that is specific to their interests, while also laying the solid foundations needed to become a proficient quantitative finance analyst. While courses are taught, most†also call upon students to research further†related materials (additional to those provided for the course) and to engage in new problem solving/analyses. This exposure ensures a gentle introduction to independent learning, by providing†a structured support when needed but first prompting students to†independently explore†various ways to solve†new theoretical and practical problems in mathematical finance.
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v) ... how this programme (as outlined in these PLOs) will develop students’ digital literacy skills and how technology-enhanced learning will be used to support active student learning through peer/tutor interaction, collaboration and formative (self) assessment opportunities (reference could be made to such as blogging, flipped classroooms, response 'clickers' in lectures, simulations, etc).
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In order to achieve the projected ability to mathematically analyse (real) financial†data, some modules expose students to using and/or programming in Matlab and/or C++. Additionally, the communication and dissertation elements require students to master digital literacy for visual presentations.
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vi) ... how this programme (as outlined in these PLOs) will support and enhance the students’ employability (for example, opportunities for students to apply their learning in a real world setting)?
The programme's employablity objectives should be informed by the University's Employability Strategy:
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http://www.york.ac.uk/about/departments/support-and-admin/careers/staff/
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The PLOs cover a list of skills which are desired by employers: analytical reasoning, confidence with high level financial analysis, clarity of communication, flexible thinking, the ability to learn and apply complex ideas quickly and precisely, and digital literacy. The computational skills are transferable and employers highly recognise the value of the programming knowledge, which our students highly develop through this programme.
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viii) ... how learning and teaching on the programme are informed and led by research in the department/ Centre/ University?
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The vast majority of teaching staff are active in research, and through lectures, tutorials and seminars communicate the influence foundational ideas have on making progress in research. Students also explicitly connect with the principles and new strands of research through projects and dissertation, as well as having the option to choose modules which reflect their preferred specialisation. This, together with their choice of dissertation,†enable them to engage with†statistics at the research frontier.
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5.d. Progression
For masters programmes where students do not incrementally 'progress' on the completion of a discrete Postgraduate Certificate and Postgraduate Diploma, please summarise students’ progressive development towards the achievement of the PLOs, in terms of the characteristics that you expect students to demonstrate at the end of the set of modules or part thereof. This summary may be particularly helpful to students and the programme team where there is a high proportion of option modules and in circumstances where students registered on a higher award will exit early with a lower one.

Note: it is not expected that a position statement is written for each masters PLO, but this can be done if preferred.
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On completion of modules sufficient to obtain a Postgraduate Certificate students will be able to:
If the PG Cert is an exit award only please provide information about how students will have progressed towards the diploma/masters PLOs. Please include detail of the module diet that students will have to have completed to gain this qualification as an exit award.
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There is no particular subset of modules that students should undertake for a Postgraduate Certificate, as their performance is evaluated in the total number of credits attained. As a rule of thumb, when students have failed modules, they will be awarded a Postgraduate Certificate if they attained the respective required number of credits for the taught section by passing  a combination of the original assessments, compensation or reassessment (in line with the University of York compensation and reassessment rules). The precise combination of rules is distilled in the University of York exit rules as described on page 119 of the Guide to Assessment at https://www.york.ac.uk/students/studying/assessment-and-examination/guide-to-assessment. Students will have achieved PLOs 1-4.
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On completion of modules sufficient to obtain a Postgraduate Diploma students will be able to:
If the PG Diploma is an exit award only please provide information about how students will have progressed towards the masters PLOs. Please include detail of the module diet that students will have to have completed to gain this qualification as an exit award.
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There is no particular subset of modules that students should undertake for a Postgraduate Diploma, as their performance is evaluated in the total number of credits attained. As a rule of thumb, when students have failed modules, they will be awarded a Postgraduate Diploma if they attained the respective required number of credits for the taught section by passing  a combination of the original assessments, compensation or reassessment (in line with the University of York compensation and reassessment rules). The precise combination of rules is distilled in the University of York exit rules as described on page 118 of the Guide to Assessment at https://www.york.ac.uk/students/studying/assessment-and-examination/guide-to-assessment/. Students will have achieved PLOs 1-5.
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6. Reference points and programme regulations
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6.a. Relevant Quality Assurance Agency benchmark statement(s) and other relevant external reference points
Please state relevant reference points consulted (e.g. Framework for Higher Education Qualifications, National Occupational Standards, Subject Benchmark Statements or the requirements of PSRBs): See also Taught Postgraduate Modular Scheme: Framework for Programme Design:
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6.b. University award regulations
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The University’s award and assessment regulations apply to all programmes: any exceptions that relate to this programme are approved by University Teaching Committee and are recorded at the end of this document.
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7. Programme Structure
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7.a. Module Structure and Summative Assessment Map
Please complete the summary table below which shows the module structure and the pattern of summative assessment through the programme.

IMPORTANT NOTE:
If the structure of your programme does not fit the usual academic year (for instance students start at the beginning of September or in January) please contact your Academic Quality Team contact in the Academic Support Office for guidance on how to represent the structure in an alternative format.

To clearly present the overall programme structure, include the name and details of each invidual CORE module in the rows below. For OPTION modules, ‘Option module’ or 'Option from list x' should be used in place of specifically including all named options. If the programme requires students to select option modules from specific lists by term of delivery or subject theme these lists should be provided in the next section (7.b).

From the drop-down select 'S' to indicate the start of the module, 'A' to indicate the timing of each distinct summative assessment point (eg. essay submission/ exam), and 'E' to indicate the end of teaching delivery for the module (if the end of the module coincides with the summative assessment select 'EA'). It is not expected that each summative task will be listed where an overall module might be assessed cumulatively (for example weekly problem sheets).

Summative assessment by exams should normally be scheduled in the spring week 1 and summer Common Assessment period (weeks 5-7). Where the summer CAP is used, a single ‘A’ can be used within the shaded cells as it is understood that you will not know in which week of the CAP the examination will take place. (NB: An additional resit assessment week is provided in week 10 of the summer term for postgraduate students. See Guide to Assessment, 5.4.a)7.a. Module Structure and Summative Assessment Map
Please complete the summary table below which shows the module structure and the pattern of summative assessment through the programme.




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Full time structure
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Students take 110 credits of taught modules, choosing three out of the four optional modules indicated during Autumn and Spring Terms.
They take the 10-credit Group Project in the early Summer Term.
They take the 60-credit Dissertation in the Summer Vacation.
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CreditsModuleAutumn TermSpring Term Summer Term Summer Vacation
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CodeTitle12345678910123456789101234567891012345678910111213
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20MAT00020MMathematical Methods of FinanceSEA
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20MAT00023MDiscrete Time Modelling and Derivative SecuritiesSEA
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20MAT00009MModelling of Bonds, Term Structure, and Interest Rate DerivativesSEA
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20MAT00028MStochastic Calculus and Black-Scholes TheorySEA
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10MAT00069MOption: Computational FinanceSEA
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10MAT00021MOption: C++ Programming with Applications in FinanceSEA