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Overview
If you are interested in technical finance and have wondered what Brownian motion is, or how Monte Carlo methods are used to price options, this Quantitative Finance - Mathematics in Investment Banking course from UCL Summer School is precisely what you are looking for. It covers Itô Calculus, the Black-Scholes world and Monte Carlo simulations.
Learning outcomes
By the end of the 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.
- Felt confident when conversing with those from established economics and finance backgrounds, which will assist with preparation for finance-based job interviews as well as graduate applications to business schools.
- Received a hands-on approach to analysing stock price data and inferring statistical properties using computational methods.
- Formed an understanding of financial calculus and derivative pricing through lectures and problem sheets.
- Appreciated the power of simulation methods using the Monte Carlo framework to price a variety of options contracts.
Programme Structure
Courses include:
- Maths refresher: differential equations and probability theory
- Modelling stock price returns – Excel based exercise
- Binomial Model – no arbitrage and delta hedging; risk-neutrality and risk-neutral probabilities
- Applied Stochastic Calculus – Brownian motion (construction and properties), Itô’s lemma and applications. Models for stocks, interest rates, volatility
- Black-Scholes model – assumptions, equation and famous Nobel prize winning formula.
Key information
Duration
- Full-time
- 19 days
Start dates & application deadlines
- Starting
- Apply before
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- Starting
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Language
English
Duolingo English Test 115
PTE Academic 75
IELTS 6.5
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- 98 accuracy using real exam data
- 4.9/5 student rating
Credits
15 alternative credits
- 15 UCL credits, 7.5 ECTS, 4 US
Delivered
On Campus
Campus Location
- London, United Kingdom
Disciplines
Mathematics Finance Investment View 12 other Short Courses in Investment in United KingdomWhat students do after studying
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Academic requirements
GPA Upper Second Class
English requirements
Duolingo English Test 115
PTE Academic 75
IELTS 6.5
Prepare for Your English Test
Cathoven AI IELTS Preparation AI-powered IELTS feedback. Clear, actionable, and tailored to boost your writing & speaking score. No credit card or upfront payment required.
- Trusted by 300k learners
- 98 accuracy using real exam data
- 4.9/5 student rating
Other requirements
General requirements
- IELTS (Academic) at least 6.5 overall and 6.0 in each component or equivalent
You will normally be able to demonstrate an average grade, or equivalent academic experience, of:
- 2:1 for most modules
- 2:2 for lower-level modules, if you are in or beyond second year at university.
Tuition Fees
Tuition fees are shown in and the most likely applicable fee is shown based on your nationality.
-
International Applies to you
Applies to youNon-residents2995 GBP / full≈ 2995 GBP / full -
Domestic Applies to you
Applies to youCitizens or residents2995 GBP / full≈ 2995 GBP / full
Living costs
London
United Kingdom
1137 - 2157 GBP / month
The living costs include the total expenses per month, covering accommodation, public transportation, utilities (electricity, internet), books and groceries.
Funding
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