Professor Teemu Pennanen teemu.pennanen@kcl.ac.uk
Postgraduate study in Financial Mathematics – p. 1

The Financial Mathematics MSc program at KCL is
12 months of hard work:
9 months of lectures and exams,
3 months of thesis work.
the beginning of a career in the financial industry or research, a good choice.
Postgraduate study in Financial Mathematics – p. 2

Financial mathematics focuses on mathematical modelling and management of financial risks.
Interdisciplinary field of applied mathematics combining probability, statistics, optimization, computer science, etc.
Constantly evolving according to new innovations and problems in research and the industry.
Widely applied, much criticised, very interesting.
Always room for improvements: more realistic market models, models of uncertainty, dependency and dynamics, pricing and hedging models, portfolio optimization, . . .
Postgraduate study in Financial Mathematics – p. 3

1. KCL Financial Mathematics Group
2. Financial Mathematics MSc-program
3. Some practical information
Postgraduate study in Financial Mathematics – p. 4

One of the largest Financial Mathematics groups in the
UK.
Around 50 postgraduate students yearly.
Currently five permanent members and two more expected in the spring. Three visiting academics and three external lecturers from the financial industry.
The FMG web site is at: http://www.kcl.ac.uk/finmath
Keep an eye on updates.
Postgraduate study in Financial Mathematics – p. 5

Head of FM group, MSc-program director teemu.pennanen@kcl.ac.uk
www.mth.kcl.ac.uk/˜teemu/
Research: asset-liability management, financial econometrics, computational risk management pricing and hedging under illiquidity and trading restrictions, stochastics and optimization, consulting in insurance and banking
Teaching: FM12, Optimization and computational finance
Postgraduate study in Financial Mathematics – p. 6

Visiting Professor
Claudio@albanese.co.uk
www.albanese.co.uk
Research: risk neutral valuation and GPU computing
CEO of Global Valuation Ltd.
wide experience in industry and academia (Imperial
College, Univ. of Toronto, . . . )
Teaching: FM03 Financial Markets (quite challenging course not to be underestimated).
Postgraduate study in Financial Mathematics – p. 7

Reader in Financial Mathematics tiziana.di_matteo@kcl.ac.uk
www.mth.kcl.ac.uk/˜tiziana
Research: econophysics, real-world models of dependency, understanding the nature and origins of real-world probability distributions and their inevitably fat tails.
consulting for regulators and hedge funds.
Teaching: FM05 Statistics in Finance and FM09 Risk in
Finance.
Postgraduate study in Financial Mathematics – p. 8

Reader in Financial Mathematics markus.riedle@kcl.ac.uk
www.mth.kcl.ac.uk/˜riedle/riedle.html
Research: advanced mathematical background of financial mathematics stochastic analysis and stochastic integration governmentally funded research project
Teaching: FM04 Stochastic Analysis
Postgraduate study in Financial Mathematics – p. 9

Lecturer in Financial Mathematics cristin.buescu@kcl.ac.uk
www.mth.kcl.ac.uk/staff/c_buescu.html
Research: real world friction effects (e.g. taxation), counterparty risk and Credit Valuation Adjustment,
GPU computing.
Teaching: Deputy MSc-program director.
Postgraduate study in Financial Mathematics – p. 10

Lecturer in Financial Mathematics martin.forde@kcl.ac.uk
www.mth.kcl.ac.uk/˜fordem
Research: asymptotics for stochastic volatility models, diffusion processes with memory fitting observed smiles at single/multiple maturities
Teaching: FM01, Applied Probability and Stochastics
Postgraduate study in Financial Mathematics – p. 11

Lecturer in Financial Mathematics john.armstrong@kcl.ac.uk
Research: information geometry approach to non-linear filtering
Twistor spaces, Hermitian and Almost Kahler geometry
Teaching: Introduction to programming with C++, Tutorials for FM06, Numerical and Computational Methods in
Finance.
Postgraduate study in Financial Mathematics – p. 12

Lecturer in Financial Mathematics elena.issoglio@kcl.ac.uk
Research: fractional Brownian motion stochastic partial differential equations.
Teaching: FM07, Interest Rate and Foreign Exchange
Dynamics
Postgraduate study in Financial Mathematics – p. 13

kyriakos.kcl@gmail.com
Research: derivative pricing, risk management, numerical methods, extensive industrial experience (Director at CALQ LTD).
Teaching: FM06, Numerical and Computational Methods in
Finance.
Postgraduate study in Financial Mathematics – p. 14

giuseppe.di-graziano@db.com
www.digraziano.co.uk
Research: financial modeling, derivative pricing extensive industrial experience (commodities structurer at Deutsche Bank)
Teaching: FM02 Risk-Neutral Valuation
Postgraduate study in Financial Mathematics – p. 15

avraam.rafailidis@googlemail.com
Research: financial modeling, derivative pricing extensive industrial experience (Senior Financial
Engineer at Bloomberg, . . . )
Teaching: FM10 Credit Risk Management
Postgraduate study in Financial Mathematics – p. 16

Join us for lunch!
Time: Monday 24th September 12:00
Place: River room (King’s Building, level 2)
Menu: Sandwiches
A good opportunity to meet the FM-group and your fellow FM MSc-students.
Postgraduate study in Financial Mathematics – p. 17

The main source of information: www.kcl.ac.uk/nms/depts/mathematics/study
Induction 2012
Handook (under “Current students”)
Timetables
Student advice
If that doesn’t answer your questions concerning the MSc, contact Math deptartment office (fifth floor of Strand building), and specifically Ms Joanne Cooke
( joanne.cooke@kcl.ac.uk
)
Check the web site first!
Postgraduate study in Financial Mathematics – p. 18

Eight MSc-modules in mathematics + MSc thesis
At least six of the modules must be FM.
Three of the FM-modules are compulsory.
The usual schedule for full-time students:
Semester 1 (Fall): Four modules
Semester 2 (Spring): Four modules
Semester 3 (Summer): MSc thesis.
Five modules per semester can only be taken for a good reason and subject to approval of the programme director.
Part-time students follow a similar structure but the schedule is spread out over two years.
Postgraduate study in Financial Mathematics – p. 19

Semester 1
FM01 [C] Applied Probability and Stochastics (Forde)
FM02 [C] Risk-Neutral Valuation (di Graziano)
FM03 [O] Financial Markets (Albanese)
FM05 [O] Statistics in Finance (di Matteo)
FM06 [O] Numerical and Computational Methods (Chourdakis)
Semester 2
FM04 [O] Stochastic Analysis (Riedle)
FM07 [C] Interest Rate and Foreign Exchange (Issoglio)
FM09 [O] Risk in Finance (di Matteo)
FM10 [O] Credit Risk Management (Rafailidis)
FM12 [O] Optimization and Computational Finance (Pennanen)
Postgraduate study in Financial Mathematics – p. 20

During Semester 3 (June–September), each student undertakes a research project that is developed individually (FM50).
Research topics are designed by the FM50 module manager to have appropriate level of difficulty and relevance with the programme and with developments in the industry.
In 2012-2013, the FM50 module manager will be Dr
Tiziana di Matteo.
Each student completes a project report by early
September. It will be examined by the FM group.
Each student must attend meetings with an assigned project advisor during Semester 3.
Postgraduate study in Financial Mathematics – p. 21

We are in the process of putting together a Bloomberg terminal room available to all FM MSc-students.
There will be 12 terminals with full access to Bloomberg data and news.
An optional Bloomberg course is planned for
Semester 2.
In Semester 2, there will also be an optional course on
C++.
C++ and Bloomberg terminals are widespread tools in the financial industry. Knowledge of them would provide you with much sought-after skills that enhance your employability.
Postgraduate study in Financial Mathematics – p. 22

The modules have to be chosen by 15th October.
We recommend that you follow the initial lectures of every module before you choose.
In order to get full-time status, you need to register for eight modules.
In order to get part-time status, you need to register for four modules.
Postgraduate study in Financial Mathematics – p. 23

The usual arrangement for Financial Mathematics MSc modules is one two-hour lecture per week for the duration of the term.
These arrangements may be varied in the case of some courses at the lecturer’s discretion.
For some courses there are also tutorials.
Usually, no formal marking or grading of course work.
A two-hour revision lecture is given for each course before the examination period at the end of Semester 2.
Postgraduate study in Financial Mathematics – p. 24

Each module has one two-hour written examination.
Financial mathematics examinations will be in May and early June.
Some non-FM first semester courses may be examined in January.
Postgraduate study in Financial Mathematics – p. 25

The pass mark for each module (including the thesis project
FM50) is 50%.
The correspondence between literal marks and percentage marks is as follows:
70-100
60-69
50-59
0-49
A
B
C
F
Distinction
Merit
Pass
Fail
Postgraduate study in Financial Mathematics – p. 26

The thesis is assessed by two examiners according to the following four criteria:
1. Elements of originality, critical thought and analysis, and mathematical sophistication in developing the proposed topic.
2. Presentation, style, and elegance.
3. Diligence, care, and thoroughness.
4. Selection of sources and references, scope and depth of literature review.
Grade F is awarded if the material, though correct, is judged to be largely copied in a mechanical manner.
Postgraduate study in Financial Mathematics – p. 27

Overall mark is the weighted average of modules 2/3, project 1/3;
P,M,D require corresponding overall mark 50, 60, 70.
Postgraduate study in Financial Mathematics – p. 28

A student who fails more than two exams is not allowed to proceed to the thesis project.
A student who fails at most two exams in condonable range will be permitted to proceed to the research project only at the discretion of the Board of Examiners.
The Board may terminate a research project already commenced in the event of failure in one or more exams.
A part-time student who fails one exam in their first year of study will be permitted to proceed to their second year of study only at the discretion of the Board.
A part-time student who fails more than one exam the first year cannot progress.
Postgraduate study in Financial Mathematics – p. 29

Up to two prizes will be awarded by the Department of
Mathematics each year for overall outstanding performance in the MSc in Financial Mathematics.
Postgraduate study in Financial Mathematics – p. 30

A candidate who fails a written examination at the first attempt may, at the discretion of the Board of
Examiners, be re-assessed on one occasion.
The re-assessment will consist of re-sitting, at the next available opportunity, any failed exam that cannot be condoned.
Postgraduate study in Financial Mathematics – p. 31

If in the meanwhile there has been any change of syllabus for the course, the student is responsible for taking this into account in their preparation for the re-assessment.
A candidate who fails the project at the first attempt may, at the discretion of the Board of Examiners, re-register for the project in the next academic year.
The second attempt must be completed in the time-frame allocated for the project in that academic year.
Postgraduate study in Financial Mathematics – p. 32

At the beginning of the academic year, each student is assigned a tutor who will be able to advise on the choice of courses and other academic matters arising with the programme as the year goes by.
Faculty have weekly office hours during lecture periods.
Other times can be arranged by appointment if necessary.
For all questions please check web sites and the handbook first.
Postgraduate study in Financial Mathematics – p. 33

Tutors have been assigned according to the initial letters of your family name as follows
Initial Tutor Time Office email
A-F Buescu 19 Sep, 13:30 S5.37
cristin.buescu
G-K Di Matteo 21 Sep, 11:00 S5.24
tiziana.di_matteo
L-R Forde 19 Sep, 13:30 S5.38
martin.forde
S-Wa Pennanen 19 Sep, 13:30 S5.41
teemu.pennanen
Wo-Z Riedle 24 Sep, 13:30 S5.39
markus.riedle
Complete email addresses by " @kcl.ac.uk
"
Postgraduate study in Financial Mathematics – p. 34

At the beginning of the academic year, each financial mathematics student is given a standard KCL email account (such as desmond.tutu@kcl.ac.uk).
Email is the primary means of communication between faculty and students, concerning the FM programme: arrangements/rearrangements of lectures, meetings, examinations, . . .
Get into the habit of checking it daily.
Postgraduate study in Financial Mathematics – p. 35

The college has a system of public access workstations
- PAWS. Get yourself a userid and password and figure out the system. See www.kcl.ac.uk/iss/it and helpdesk at Chancery Lane Library.
If you have your own desktop or laptop at work and/or home, it is suggested that you set up mail forwarding.
Do NOT physically connect to network. Use ISS Wifi.
For support e-mail: maths-support@kcl.ac.uk
Use that instead of named individuals.
Check to web first!
Postgraduate study in Financial Mathematics – p. 36

Maughan Library, Chancery Lane (5min walk).
Library Induction Thusday 20 Sep at 3/4pm
PG maths students at King’s have full access also to the DMS Watson Library in UCL which holds the library of the LMS.
Arrangements can also be made for use of the LSE
Library, which has a good selection of relevant journals and books.
Postgraduate study in Financial Mathematics – p. 37

KCL participates in a joint Math Finance seminar with
London School of Economics, Imperial College, and
University College. This semester it will take place in
LSE every second Thursday at 4:30pm. Look for links at Financial Mathematics Group web pages.
Mathematics Department Colloquium takes place
Friday afternoons during term from time to time. A good way of broadening your mathematical culture.
Postgraduate study in Financial Mathematics – p. 38

KCL participates in the London Graduate School in
Financial Mathematics, jointly with Birkbeck College,
Brunel University, Imperial College, King’s College, LSE and UCL.
Shared delivery of four courses for Year 1 PhD students, plus joint seminars. (If any starters present get an e-mail account and look out for LGS announcements and seminars - you can also go to MSc lectures).
www.londonmathfinance.org.uk
Postgraduate study in Financial Mathematics – p. 39

If you are contemplating PhD-studies in KCL, work hard on your MSc. Your evaluation will be based on that, and we only accept outstanding PhD-candidates.
Postgraduate study in Financial Mathematics – p. 40

Welcome to the Financial Mathematics group of KCL!!!
Postgraduate study in Financial Mathematics – p. 41