MSc Financial Modelling and Optimization
Structure and course options for the Financial Modelling and Optimization MSc programme.
If you are studying full-time, you will take 120 credits of courses in total during Semesters 1 and 2, followed by a 60 credit dissertation which you complete over the summer.
If you are studying part-time, you will take 60 credits of courses in Year 1 of your programme, followed by 60 credits of courses in Year 2. You will then complete a 60 credit dissertation over the summer at the end of Year 2.
The courses you take will be dependent on the availability of courses each year which may be subject to change as the curriculum develops to reflect a modern degree programme.
All courses are worth 10 credits, unless otherwise indicated.
Semester 1 compulsory courses have previously included:
- Discrete-Time Finance
- Fundamentals of Optimization
- Stochastic Analysis in Finance (20 credits)
Semester 2 compulsory courses have previously included:
- Optimization Methods in Finance
- Numerical Probability and Monte Carlo
- Risk-Neutral Asset Pricing
- Research Skills for Financial Mathematics
All courses are worth 10 credits, unless otherwise indicated.
Semester 1 optional courses have previously included:
- Fundamentals of Operational Research
- Stochastic Modelling
- Finance, Risk and Uncertainty
- Python Programming
Semester 2 optional courses have previously included:
- Algorithmic Game Theory and its Applications
- Time Series
- Financial Risk Theory
- Large Scale Optimization for Data Science
- Credit Scoring
- Stochastic Control and Dynamic Asset Allocation
- Machine Learning in Python
- Numerical Partial Differential Equations
Over the summer, you will work on a project on an approved topic and write a dissertation based on this work. The project gives you the opportunity to apply skills developed earlier in the programme to real operational research and financial mathematics problems.
Projects could take the form of a consultancy exercise for a sponsoring organisation. Projects usually involve modelling of the problem and applying existing OR and financial mathematics techniques. If you have interests or contacts in particular industries or government departments, you are encouraged to suggest project a yourself.
Part-time study is available for working professionals who wish to enhance their career by pursuing an MSc degree whilst in employment. The 180 credits required are obtained over the course of two years with the final MSc project worth 60 credits taking place in the summer of the second year. The part-time mode of study comprises of the same compulsory and optional courses as the full-time mode.
Each 10 credit course consists of roughly 30 hours of lectures/labs/workshops with a further 70 hours of self-study (problem solving, reading, revision). Students need to obtain 120 credits during four semesters (two each year). Each semester is 12 weeks long, thus there are roughly 7.5 hours of lectures/workshops /labs each week during semesters that part-time students are expected to attend. All lectures are recorded, and all other teaching activities take place Monday-Friday between 9am and 6pm.
Effort is made, during timetabling, to ensure that each course has activities only on one day a week to enable part-time students to make arrangements to attend the courses as needed. If you wish to study part-time over two years it is recommended that you discuss the practicality of doing so with the Academic Selector by contacting them on futurestudents@ed.ac.uk.