Finance Mathematics – Field of study catalogue MU
“From risk to certainty”
The current financial practice is unthinkable without the use of a wide spectrum of sophisticated mathematical models and techniques. The main aim of the studies in the Master's degree programme of Financial Mathematics is to master both practical and theoretical aspects of these methods. The programme focuses mostly on qualitative methods and models of financial mathematics. The study plan of the programme provides firm mathematical background, which allows the complete understanding of such models, including their sensitivity to the changes of parameters and violation of some of the model's assumptions. Another aim is to acquaint students with practical aspects of risk analysis, e.g. using scoring techniques including corresponding programming skills.
The concept of studies is based on three pillars, which provide firm foundation for practical applications of mathematical models. The first pillar is devoted to mastering more advanced mathematical techniques of spectral and functional analysis and solving differential equations.
This is followed by mastering techniques of analysis of stochastic processes, and, consequently, the actual models of financial mathematics including their practical aspects. The programme also offers several courses oriented towards actuarial (insurance) mathematics.
The study programme of Financial Mathematics is run in cooperation with the Faculty of Economics and Administration, which guarantees the economically oriented courses taught within the programme. The programme aims mostly at students with analytical thinking and interest in practical applications of mathematics.
After successfully completing his/her studies the graduate is able to:
- apply appropriate mathematical models to analysis and prediction of financial time series and evolution of interest rates
- analyse and construct portfolios with desired properties
- master techniques for using and evaluating options and other financial derivatives, stressing their importance for hedging against market risks
- evaluate the risk of using investment tools
- master current software used in financial institutions
- use and combine appropriate programming techniques
The graduates will find employment in financial institutions - banks, insurance companies, pension and investment funds, and audit and consultancy companies. They can work as company financial analysts and in state administration.
In insurance companies they can mostly work as actuaries. In the bank sector, they can work, for instance, as analysts or specialists in controlling and in management positions.
The standard duration of studies is four semesters. To be admitted to the final state examination students must earn a total of 120 ECTS credits for required, selective, and elective courses. Required courses constitute the basis of the discipline and make up 67 credits (including credits for writing a Master’s thesis and for language courses). Out of the selective courses, which make up 17 credits in total, students choose according to their interests and intended professional specialization. The remaining 36 credits can be earned in optional courses offered in the study plan of the given study programme, or in other courses offered by any other study programme. During the course of their studies students should follow the Course Catalogue for their year of matriculation.
The final state examination consists of two parts - defence of the Master's thesis and an oral examination. The oral examination tests the knowledge of the following three areas:
1. Foundations of Mathematics (Probability Theory, Differential Equations, Functional Analysis, Spectral Analysis);
2. Stochastic Methods (Discrete Stochastic Processes, Wiener Process and Stochastic Integral, Stochastic Analysis, Analysis of Time Series); and
3. Mathematical Models in Finance (Portfolio Analysis, Discrete Models,
Continuous Models, Financial Derivatives, Game Theory, Interest Rates)
More information can be found on the department's website:
After completion of the Master's degree programme of Financial Mathematics, it is possible to continue further studies in a doctoral degree programme (after satisfying the admission requirements). At the Faculty of Science students can, for instance, apply for admission to a doctoral degree programme of Probability, Statistics, and Mathematical Modelling.