Quantitative Finance: Maths in Investment Banking (Level 3)

About

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 Alex Donov

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

Upon successful completion of this module, students will:

Have gained an applied understanding of the global financial markets and some of the types of products that are traded in them
Feel confident when conversing with those from established economics and finance backgrounds. In particular it will assist with preparation for finance based job interviews as well as graduate applications to business schools.
Have received hands on approach to analysing stock price data and inferring statistical properties using computational methods.
Have formed an understanding of financial calculus and derivative pricing through lectures and problem sheets
Appreciate the power of simulation methods using the Monte Carlo framework to price a variety of options contracts.

Fee info