Financial Modelling Field

Program Overview:

This course of study emphasizes the mathematical, statistical and computational aspects of financial modelling. Students will learn how to carry out research within the context of several major projects.

Students in the Financial Modelling Field should normally expect to take 3 terms to complete their MSc program.  A second year of Master's study is available for interested students.  This second year will comprise a few additional courses and more extensive research experience leading to a thesis rather than a project.  This stream is recommended for those hoping to continue to doctoral level study.

Admission Requirements:

Prior to program entry, students are expected to have significant knowledge of Linear Algebra, Calculus, Ordinary Differential Equations, Intermediate Probability, and Mathematical Statistics.

An average grade of 82% on the last twenty (20) one term courses taken is normally required for admission to the program. Because of the competitive nature of the program, the actual minimum entering average may be higher. Higher grades on mathematical and statistical courses will increase an applicant's chances of acceptance into this program.

Program Requirements:

Students are required to take a minimum of eight (8) courses. They must choose a minimum of 6 from the following 8 courses:

FM 9521:Financial Modelling II
FM 9522: Introduction to Financial Markets and Quantitative Finance with Excel
FM 9578: The Mathematics of Financial Options
FM 9590: Stochastic Processes with Applications in  Finance and Actuarial Science
FM 9593: Monte Carlo Methods for Finance
SS 9055: Generalized Linear Models
SS 9859: Regression
SS 9861: Time Series

 

Students must also select a maximum of two from the following 5 courses:

FM 9587: Financial Risk Management
FM 9523: Portfolio Theory
SS 9657: Advanced Probability, 
SS 9030: Statistical Inference, 
AS 9912: Risk measures and Dependence. 

During the summer term, students will complete a research project under the direction of a supervisor; typically the supervisor is a regular faculty member in the Department of Statistical and Actuarial Sciences.  Research will be conducted by the student on a topic of current interest in financial modelling.  The student will submit a written report and give either a 15 minute oral presenation or a poster presentation.

Prospective students wishing to receive credit for previously completed courses must request permission with their initial application to the program. In such cases, students will normally replace such courses with graduate courses in statistics, actuarial science or financial modelling. On occasion, a student may request permission to take graduate courses outside the Department.