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Syllabus

The aim of the programme is to train analysts in the area of quantitative finance, with a deep and critical understanding of the models and methods used in this sector. Graduates can go for careers in research, development and innovation in banks and other financial institutions. After Master, the student should acquired the following specific and transferable skills.
                                                                                                               
Specific skills
 
  • To be fluent in the language of financial markets and be able to apply it to practical scenarios

  • Advanced knowledge of Statistics and Econometrics

  • Advanced knowledge of stochastic processes and time series

  • Basic knowledge of analytical and numerical methods for partial differential equations

  • Understanding of insurance policies

  • Portfolio management

  • Risk management

  • Derivatives management

  • Advanced knowledge of financial products, financial markets, balance tests, assessment of financial firms, advanced strategies of financial management, etc.

  •                                                                                                                          
Tranferable skills

  • Visual Basic programming for professional environment

  • Advanced knowledge of SAS programming and general statistical software

  • To be able to design, develop and validate mathematical models, both stochastical and deterministic

  • Ability to present and communicate the models developed and the resulting solutions to concrete real problems

  • Ability to present and communicate reports and projects

  • Ability to work in team in both academic and professional environments

  • Advanced management capabilities and use of bibliographic information

  • Capability to carry out financial and statistical studies
 
The Master in Mathematics of Finance has two main modules
 
  • 1st Module: Mathematics of Finances (40 credit ECTS)

  • 2nd Module: Internship and End of Master Project (26 credit ECTS)

Module ​Name Credit ECTS​ ​Character
Mathematics of Finance ​Introduction to Finance ​10 Mandatory
Mathematics of Finance Basic Math and Programming ​10 Mandatory
Mathematics of Finance Advanced Math ​10 ​Mandatory
Mathematics of Finance Professional management ​10 Mandatory
​Internship and End of Master Project
Internship ​20 ​Mandatory
​Internship and End of Master Project
End of Master Project ​6 ​Mandatory
 

In the first Module will develop the following twelve subjects, divided into two semesters. Six subjects each semester
 
​Semester ​Subject ​Language
1

Products and Financial Markets
1. Interest rate. Financial products
2. Financial markets
3. Fundamental and technical analysis
4. Reuters

Cat/Spa
1

Insurance and Finance
1. Life insurance
2. Non-life insurance
3. Balance analysis
4. Rating finance companies

Cat/Spa
 
​1

Financial strategies
1. Basic operations
2. Futures and swaps strategies
3. Options strategies
4. Structured portfolio strategies

English
 
​1
 
Programming
1. Excel
2. Visual Basic
3. SAS
4. Website
 
Cat/Spa
 
​1

Multivariate statistical and Extreme values
1. The linear model
2. Multivariate statistics
3. Simulation
4. Outliers

Cat/Spa
 
​1
 
​Time Series
1. Classical analysis
2. Second-order processes. Seasonality
3. SARIMA models
4. GARCH models

Cat/Spa
 
​2

Stochastic calculus
1. Discrete time martingales. The random walk
2. Continuous time martingales. The Brownian movement
3. Stochastic differential equations
4. Poisson process. Lévy Processes

Cat/Spa
2

​Partial Differential Equations
1. The Black-Scholes equation and the heat equation
2. Parabolic equations
3. American options
4. Numerical solution of equations

Cat/Spa
2

​Econometrics
1. Econometric analysis of financial markets
2. Extensions of the linear model
3. Nonspherical models
4. Econometrics of time series

Cat/Spa
2

Portfolio management
1. Portfolio selection
2. Markowitz models, CAPM, Black and APT
3. Portfolio monitoring
4. Management

Cat/Spa
2

​Risk Management
1. Hedging of risk exposures
2. Credit risk, interest rate risk and operational risk
3. Integrated risk management
4. Basel II guidelines

English
2

Financial Derivatives Management
​1. Derivatives. No arbitration. The risk-neutral world
2. Cox-Ross-Rubinstein model
3. Black-Scholes model
4. Volatility.

Cat/Spa