London, United Kingdom

Quantitative Finance: Maths in Investment Banking

when 29 June 2020 - 17 July 2020
language English
duration 3 weeks
credits 7.5 EC
fee GBP 2100

The 2020 UCL Summer School has been cancelled due to the spread of Covid-19.

Quantitative Finance remains one of the fastest growing areas in modern finance. Alternative names are Financial Engineering, Mathematical Finance or Financial Mathematics. This is an application based course on the mathematical and computational aspects of derivative pricing. It lies at the heart of mathematics, computing, finance and economics. Both theory and numerical techniques will be presented, with computer simulations performed on MS Excel. If you are interested in technical finance and have wondered what Brownian Motion is, or how Monte Carlo methods are used to price options; then this module is precisely what you are looking for – covering Itô Calculus, Black-Scholes world and Monte Carlo simulations. This is not a theorem-proof based course, but all results will be derived.

Course leader

Dr Riaz Ahmad works at the Fitch Group and teaches Mathematical Finance; C++ and Python programming for financial engineering applications. He has been training in the financial markets for almost 15 years; in London, New York and the Far East. The range

Target group

This is a level two module (equivalent to second year undergraduate). Students are required to have completed at least two years of undergraduate training in maths, physics, engineering or mathematical economics.

Course aim

Students will gain competence and confidence in understanding some of the essential mathematical and numerical techniques, and their practical use in investment banking to price options. These include the mathematical methods and computational finance schemes such as Monte Carlo. To provide international students the unique opportunity to study a very popular yet highly specialised branch of finance in an accessible way, which has a solid foundation in the department of mathematics at UCL. Completion of the module will generate further interest amongst students in the area of technical finance. More importantly students will appreciate that Quantitative Finance does not need to look like Rocket Science!

Credits info

7.5 EC
7.5 ECTS
7.5 ECTS / 4 US / 0.5 UCL

Fee info

GBP 2100: Students joining us for six weeks (two modules) will receive a tuition fee discount.
GBP 1100: Accommodation (optional) will cost approx. £1100 per 3-week Session.