Testimonial


Wat ik zo leuk vond aan de minor Finance was het feit dat de vakken zo divers zijn en je van alle aspecten wat meekrijgt. 

Lees het verhaal van Janiek, studente Technische Bestuurskunde

Testimonial


"Na mijn studie in Delft ga ik een master Financial Mathematics in het buitenland doen. De minor Finance vormt voor mij de perfecte overstap naar de financiële wereld."

Lees het verhaal van Yaniv, student Luchtvaart- en Ruimtevaarttechniek

Testimonial


‘De ideale kans om de wiskundige kennis, die ik tot nu toe heb opgedaan, toe te passen op meer praktische voorbeelden uit de financiële wereld. De combinatie van de verschillende vakken gaf mij een compleet beeld van de financiële markten. De minor Finance vond ik dan ook een leuk studieprogramma.’

Lees het verhaal van Rebecca, studente Technische Wiskunde

Testimonial


Er worden veel lezingen en gastcolleges georganiseerd vanuit bedrijven, die actief zijn in de financiële wereld.

Lees het verhaal van Ruud, student Werktuigbouwkunde

Finance and Mathematical Finance

Both the financial markets themselves as well as their products have been very dynamic in recent years, and they still are.  The financial crises of the past decade have continuing effects on many aspects of our lives. There is a growing demand for people that have insight in the mathematical financial models, that understand how models fit to the "real" market, and that can assess whether they really fit. Beside all this, there is a growing tendency to take models from the financial markets and apply them to other types of valuation problems. 

Attending one of the financial minors described below you will study products like bonds, stocks, and options, listed on financial exchanges. You will work to understand the structure and workings of these products, and also to compute their values. All this requires tools from mathematics.

Is the valuation of financial products of practical relevance?

Stocks and bonds play an important role in the economy. Companies issue stock as a means to attract the capital they require for investments. The counterparties in these transactions are investors such as pension funds and insurance companies, but also individuals who buy them as tool to preserve their funds. Banks participate in stock and option trading, but they also write options and create other products involving stocks and bonds. Working with these products you will, for example, learn to understand the interplay between options, stocks, and bonds.

Will this be useful even if I don't enter the financial world?

Learning to apply mathematical models in a practical situation is, of course, of much wider use than just that. One specific area, much broader than finance itself, is that of dealing with uncertainty. This topic you could easily encounter in your bachelor project or master's thesis.

Intended for whom?

Most bachelor programmes provide the opportunity to acquire the prerequisite knowledge necessary for the minor Finance.  Of particular importance are the tools from probability theory and statistics: they play a very important role in the modelling as well as in valuation techniques. Because of this, we require that you have knowledge and skills at the level of A Modern Introduction to Probability and Statistics. Other mathematical skills will in general be an asset, but interest in its application is necessary.  Typically, the finance applications have a way of clarifying the mathematics; this way, they also tend to foster students' enthusiasm for it. Familiarity with Matlab or R is helpful, as several courses require programming.

The programmes

This mathematically more demanding minor has been created to allow students with more mathematical sophistication and desire to acquire more fundamental knowledge,  while staying within the finance theme.  At the same time, we hope, they get a better idea what studying mathematics (as in the Applied Mathematics MSc programme) might entail.  There are extra admission requirements which are listed below, but first have a look at the programmes:

The diagram below provides an overview of the two minors. Three of the courses are considered core finance courses and present in the programme of both minors (the red squares). For the minor Finance one should add the "green" courses, for mathematical finance the blue ones.  To present an informative overview, all courses are plotted with respect to two axes, the horizontal one ranging from fundamental to applied and the vertical one ranging from general to (more specific) finance. The character of each minor is now clear from the picture: mathematical finance adds courses on the fundamental side, finance on the applied side. Some courses are in fact quite general in nature, but focus on finance applications (Time Series, Monte Carlo). Here are brief course descriptions for each of them:

Principles of Asset Trading 6 ECTS

Financial products are used in two ways: as an investment and as a means of attracting investors. How does this work and how can one make smart choices?  What choices do companies make to finance their ventures?

Option Valuation Methods 6 ECTS

While doing Matlab assignments you are introduced to the partial differential equation of Black and Scholes (Nobel prize 1997). You learn to price several kinds of options by computer algorithms. Insights from stochastic models are transformed into numerical methods to price and hedge products and portfolios.

Introduction to Mathematical Finance 6 ECTS

This course is at the mathematical core of the minor(s). It focuses on building and analyzing models that can be applied in finance. An example is the stochastic model for stock or interest rate movement, which provides a basis to price American options.

Time Series 4 ECTS

Many financial phenomena are modeled as time series and enormous amounts of data are available. These models are analysed and you learn how to derive and estimate important parameters, like the volatility of a stock price.

Monte Carlo Methods 3 ECTS

Performing (stochastic) simulations is the central theme of this course.  These simulations enable one to determine modelproperties (probabilities, expectations), which cannot be computed in other ways. Generic methods to do this efficiently are covered, and applied to option pricing.

Risk Management 3 ECTS

How do financial institutions deal with risk and what instruments do they use to control this risk? An extremely important issue, also (even more?!) for supervisory institutions and governments. This course is connected to almost everything else.

Current Issues in Finance 2 ECTS

Weekly discussion based on recent news from the financial world, which is analysed from the viewpoint of the minor courses. Students present problems and starting points for the discussion, as well as analyses of companies.

Wiskundige Structuren 6 ECTS

This course is at present still in Dutch!  In dit college worden structuren uit de wiskunde behandeld, zoals natuurljke getallen en inductie, reele getallen en volledigheid, functies en continuiteit, convergentie van getallen- en functierijen, en -reeksen. Zonder deze kennis zou het niet mogelijk zijn het vak hierna te volgen:

Probability for Finance 6 ECTS

Mathematical finance requires a more rigorous foundation in probability than (non-mathematics) students are familiar with. This course covers probability essentials built on this foundation. Wiskundige Structuren and Introduction to Mathematical Finance are prerequisites. It will be a tough course, but fun!

Clinic 0 ECTS

Weekly drop-in service hour: one of the instructors is available for questions and the department aims to have work space available. Entirely optional!

Note for students TW 

As Wiskundige Structuren is part of the BSc programme Technische Wiskunde, for you this course of the minor Mathematical Finance is replaced by Times Series and Risk Management. However, the minor Mathematical Finance was not created specifically for you, for the following reason: if you do the minor Finance and choose TW3560 (Voortgezette Kansrekening) you have something which is almost equivalent to the combination of both finance minors, a minor Finance "XL".

You should apply to only one of these financial minors. If you are really in doubt as to which one, consult the minor coordinator or one of the other instructors.

Admission to the Minor Finance

For the minor Finance the requirements are good skills in probability and statistics and affinity with mathematics, as mentioned earlier. There has not been any formal checking of these requirements in the past and this will not change. For minor Finance participants the entrance test on the first day of classes is meant to be a diagnostic tool: for you to find out where you stand, for us to get an general impression of what is known well and what not.

Admission to the Minor Mathematical Finance

The minor Mathematical Finance, was started in September 2015, and is open for students from LR, MT, TN, Wb, TI, EE and TW. For admission to the minor mathematical finance you will have to convince us of your prowess in probability and statistics by your performance on the entrance test on the first day of classes, and without using books or notes.  To give you an idea: you should be able to solve three quarters of the problems from A Modern Introduction to Probability and Statistics. Not just the computational exercises, but also the insight ones.  A passing threshold will be set in advance and if you pass, you have secured a place in the minor mathematical finance; if not, you will be admitted to the minor (non-mathematical) finance instead. 

More information

Dr.ir. L.E. Meester 
Faculteit Elektrotechniek, Wiskunde en Informatica
Sectie Kansrekening en Statistiek 
T: +31 (0)15 27 87258 
E: L.E.Meester@tudelft.nl

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