For Future Students

Financial Mathematics Program


The School offers a variety of units of study concerned with financial mathematics, ranging from introductory units for undergraduates to advanced units for honours students.

The B.Sc. and B.Sc. (advanced) degrees allow students to major in Financial Mathematics and Statistics. See below for more details.

The School's contact person for the financial mathematics program is Prof Marek Rutkowski.

Currently Available Financial Mathematics Units

Optimization and Financial Mathematics
This intermediate (second year) mathematics unit. includes an introduction to financial mathematics, with topics such as the pricing of riskless and risky securities, pricing of bonds, a first look at classical options and a simulated electronic trading project. It is offered at both advanced and mainstream levels. The prerequisites for Optimization and Financial Mathematics are the four junior mathematics units (taken either at mainstream or advanced level) covering differential calculus, linear algebra, integral calculus & modelling and statistics.
Financial Mathematics
This senior year unit includes modern portfolio theory, capital markets and advanced option pricing techniques. It follows on from the intermediate unit Optimization and Financial Mathematics and is also offered at both advanced and mainstream levels.
Advanced Option Pricing
This unit is an advanced program designed for top students and includes the latest mathematical techniques for pricing derivative securities and exotic options. It is available to fourth year (Honours) students.
Interest Rate Modelling
This unit expands the range of financial applications to interest rate sensitive derivatives. It is available to fourth year (Honours) students.

BSc Major in Financial Mathematics and Statistics

Students in the BSc and BSc (Advanced) degrees can choose to major in Financial Mathematics and Statistics.

By choosing the core units of study and one of the electives from the lists below, you will graduate with a major in Financial Mathematics and Statistics. You may also elect to have your major area of study printed on your testamur, identifying your expertise in financial mathematics and statistics to prospective employers.

Most of the core and elective units are offered at two levels (mainstream and advanced) right through from first year to the end of third year. The best students may also consider completing a fourth (Honours) year, combining the Advanced Option Pricing unit with other fourth year units drawn from Mathematics and/or Statistics.

Units of Study for a Major in Financial Mathematics and Statistics:

Core Junior units

  • MATH 1001/1901/1906 Differential Calculus
  • MATH 1002/1902 Linear Algebra
  • MATH 1003/1903/1907 Integral Calculus and Modelling
  • MATH 1005/1905 Statistics

Core Intermediate units

  • MATH 2070/2970 Optimization and Financial Mathematics
    (Note that one further MATH 2xxx unit is required, in order to meet the prerequisites for the senior core unit MATH 3075/3975.)
  • STAT 2011/2911 Statistical Models
  • STAT 2012/2912 Statistical Tests

Core Senior units

  • MATH 3075/3975 Financial Mathematics
  • STAT 3011/3911 Stochastic Processes and Time Series
  • STAT 3012/3912 Applied Linear Models

Senior Electives (at least one must be taken)

MATH 3076/3976 Mathematical Computing, MATH 3078/3978 Partial Differential Equations and Waves, MATH 3969 Measure Theory and Fourier Analysis, MATH 3974 Fluid Mechanics, STAT 3013/3913 Statistical Inference, STAT 3014/3914 Applied Statistics, INFO 3404/3504 Database Systems 2.

All of the Mathematics and Statistics units of study mentioned above have their own web pages.
Core units: MATH1001, MATH1901, MATH1906, MATH1002, MATH1902, MATH1003, MATH1903, MATH1907, MATH1005, MATH1905, MATH2070, MATH2970, STAT2011, STAT2911, STAT2012, STAT2912, MATH3075, MATH3975, STAT3012, STAT3912.
Electives: MATH3076, MATH3976, MATH3078, MATH3978, MATH3969, MATH3974, STAT3013, STAT3913, STAT3014, STAT3914.