4 August 2023
on course website
Quantitative Finance: Maths in Investment Banking (Level 3)
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
Target group
This is a level three module (equivalent to third year undergraduate). In addition to the standard UCL Summer School entry criteria, applicants will be expected to have completed a minimum of two years of undergraduate study in maths, physics, engineering or mathematical economics at the time of joining the UCL Summer School
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 / 4 US / 15 UCL
Fee info
GBP 2350: Students joining us for six weeks (two modules) will receive a tuition fee discount.
GBP : Students are welcome to apply for accommodation at a UCL summer residence.
on course website
