MSc in Mathematical Finance

Module 1:

Mathematical and Technical

Prerequisites

Module 1:

Student Instructions

Module Dates

Monday 8 – Friday 12 January 2018

Module venue

All lectures will be in: L5, Mathematical Institute, University of Oxford, Andrew Wiles

Building, Radcliffe Observatory Quarter, Woodstock Road, Oxford, OX2 6GG.

Please arrive at L5 (on the Mezzanine level below reception), for an 8:30 start on Monday 8

January. Coffee and pastries will be available from 8:30-9:00 under the small Crystal outside

L5.

A welcome pack, with course materials, lunch vouchers, timetable and IT account

information, will be given to you on arrival at the lecture room.

If you have any problems, please ask reception.

Tour of the building

The Course Administrator will be giving a tour of the department on 8 January. Please meet

in reception at 12:45 if you wish to take part.

On the first morning (timetabled at 11:15-12:00), you will be given time to go to your

College, where you should be given a university card. Your access to the building will be

tested on this tour.

Synopsis

• Probability: Axiomatic approach to probability, random variables, expectation and

integration, multidimensional random variables (and independence, conditional

expectation, convergence of random variables;

• PDEs: parabolic partial differential equations, heat equation, link to random walks,

similarity solutions, Fourier transform; qualitative properties of solutions, maximum

principles, smoothness;

• Applied Stochastic calculus: Brownian motion, constructions, non-differentiability,

quadratic variation, stochastic integration, construction of Ito integral and properties,

the Ito formula, Feynman-Kac formula;

• Statistics: basic parameter estimation, maximum likelihood estimation, distributions,

regression techniques, tests for normality, QQ plots, hypothesis testing, numerical

examples in R;

• Binomial trees, discrete martingales: simple random walk, change of measure, one-

period and multi-period binomial stock price models, arbitrage pricing of options on

trees;

• Portfolio theory, utility: expected returns, variance and co-variances, benefits of

diversification, the opportunity set, efficient frontiers and the Sharpe ratio, utility, risk

aversion;

• Introduction to MatLab: basics, plotting, implementation of elementary numerical

concepts applied to finance.

Welcome event

A dinner is being held at Jesus College on Monday 8 January; with a drinks reception at

19:00 on the Hall Balcony, adjacent to the Mansell Room, and the dinner itself at 19:30 in

the Mansell Room. There will be NO CHARGE for this dinner.

The dress code is smart casual.

Please let us know whether you are able to attend, by emailing mathfin@maths.ox.ac.uk by

Thursday 21st

December 2017, with any dietary requirements you may have, as this will

enable us to give the college accurate numbers.

Logistics

Laptops

Laptops are required for all lectures on this module. Facilities for charging laptops are

available in the lecture room.

Soon after you have returned your signed card form, you should receive, via the email

account you gave in your application form, an activation code for your single sign-on

account. Once you have activated your account, please attempt to download MatLab from

IT Services: http://help.it.ox.ac.uk/sls/fulllist; but if you have problems downloading it they

can be resolved once you are here for the module. A session on forwarding emails and

installing MatLab will be held on Monday 8 January 2018.

Laptops

WiFi, in the Mathematical Institute, can be accessed through ‘The Cloud’.

Lunch and Refreshments

Coffee and tea

Morning coffee/afternoon tea and biscuits will be served under the Small Crystal outside L5,

during the scheduled breaks.

Tea/coffee and other snacks are served throughout the day in the Mathematical Institute

Café.

Lunch

Time: 12:30.

Venue: The Mathematical Institute Café, Andrew Wiles Building

A DATED voucher for each day of the module will be included in the folder containing your

course materials that you will receive on arrival. You will need to present a voucher at the

café’s checkout for the appropriate day. You will then not be charged for the items you have

selected.

If you have any special dietary requirements, e.g. vegetarian, gluten-free etc. please let the

Mathematical Finance Office (mathfin@maths.ox.ac.uk) know at least one week in advance

of the module.

Matriculation

Your Matriculation Ceremony will take place on Thursday 11 January 2018 at Convocation

House; located within the Bodleian Library, Broad Street, Oxford OX1 3BG.

On the day you can either:

Arrive at lectures ready-dressed for Matriculation. You will then have ‘free time’ from the

start of the coffee break until 11:45 when it will be necessary to gather in the Mathematical

Institute reception to walk to Convocation House for the ceremony, which starts at 12:30.

or

You can return to where you are staying after lectures end at 10:30, dress, and return to the

Mathematical Institute for 11:45, when you will be led to Convocation House in time for the

start of the ceremony at 12:30.

Photo

The Course Administrator will take a photo of the whole class in their sub-fusc in the

Mathematical Institute before your Matriculation Ceremony. It is a nice memento for the

day, and the photo will be distributed via email to the class. This will take place at 11:20.

The photo may also be used for the website and advertising material. If you wish not to

have your photo used for these purposes please inform us ahead of time.

Sub-fusc

The dress code for Matriculation is extremely strict, so it is probably advisable to return to

the Mathematical Institute, and have your dress ‘checked’, rather than go straight to

Convocation House by yourself.

Dress attire:

• a dark suit and socks or stockings or a dark skirt or trousers

• black shoes

• plain white shirt and collar or a white blouse

• a white bow tie or black ribbon

• graduate gown

• mortar board or soft cap

Lunch following matriculation

Christ Church College are offering lunch for their students following the Matriculation

ceremony. Some other Colleges may also do the same, and we will contact you directly if

this is the case.

If you do not hear from us and your college is NOT providing lunch following the ceremony,

lunch will have been arranged for you at the Mathematical Institute.

Reading List

Module 1: Mathematical and Technical Prerequisites

� E.J. Elton, M.J. Gruber, S.J. Brown and W.N. Goetzmann, Modern Portfolio Theory and

Investment Analysis (9th Edition), 2014, John Wiley, 978-1118469941

� A. Etheridge, A Course in Financial Calculus, 2002, Cambridge University Press, 978-

0521890779

� D.J. Higham and N.J. Higham, MATLAB Guide (2nd

Edition), 2005, SIAM, 978-0898715781

� D.W. Jordan and P. Smith, Mathematical Techniques (3rd

Edition), 2002, 0199249725

� D. Ruppert, Statistics and Data Analysis for Financial Engineering: with R examples, 2015,

Springer, 978-1493926138

� S. Shreve, Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, 2005,

Springer, 978-0387249681

� D. Williams, Probability with Martingales, 1991, Cambridge University Press, 978-

0521406055

Assignment

Deadline

12 February 2018, 12:00 (UK time)

Submission information

The Module 1 assignment will be distributed at, or shortly after, the week you are in Oxford.

Although not a compulsory assignment, it is highly recommended that you do submit an

assignment to give an indication of how you are progressing on the course, ready for the

examinations. If you do not plan to submit the assignment then please let the Course

Administrator know.

Please submit the assignment by:

• Logging onto: https://courses.maths.ox.ac.uk/node/111

• Select the ‘Assignments’ tab

• Select the ‘Submit work’ tab and complete the relevant sections

Please ensure that it is the correct assignment you are uploading as you will only be

permitted to submit it once. If you encounter any problems please contact the Course

Administrator as soon as possible.

Please remember to put your candidate number, rather than your name, on the assignment.

You can find your candidate number on the Student Self Service System.

Contact Information

Important Contacts

• Sarah Davidson, Course Administrator: mathfin@maths.ox.ac.uk

• Charlotte Turner-Smith, Academic Administrator:

academic.administrator@maths.ox.ac.uk

• Professor Jeff Dewynne, Course Director: dewynne@maths.ox.ac.uk

Social Media

We have specific MSc in Mathematical Finance groups on both LinkedIn and Facebook.

These are a great way of asking questions, sharing information and job opportunities

between your classmates and alumni. We would strongly recommend you join these groups

and actively participate in the conversations.

• LinkedIn

o Mathematical Finance Group

o 2018 Mathematical Finance Starters

• Facebook

o Mathematical Finance Group

Course Handbook

Your Course Handbook is included in this email, and a hard copy provided on the first day.

The most up to date version of the handbook will always be available on the website.

The Course Handbook gives details on all aspects of the course; from course structure and

examination conventions, to fee information and resources available to you.

It is vital that you keep a copy close to hand, and use it as your first source of information.

For further information please contact:

Email: mathfin@maths.ox.ac.uk

Phone: +44 1865 615210

Website: www.maths.ox.ac.uk/mscmf

Facebook/LinkedIn: Please find us by searching for ‘MSc in Mathematical

Finance’