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3.3.3.8    Quantitative Finance

Quantitative Finance is a multidisciplinary honours-track programme that combines mathematics, finance and computing with a practical orientation that is designed for high-calibre students who wish to become professionals in the finance industry. The explosive growth of computer technology, globalisation, and theoretical advances in finance and mathematics have resulted in quantitative methods playing an increasingly important role in the financial services industry and the economy as a whole.  New mathematical and computational methods have transformed the investment process and the financial industry. Today banks, investment firms, and insurance companies turn to technological innovation to gain competitive advantage. Sophisticated mathematical models are used to support investment decisions, to develop and price new securities and innovative products or to manage risk. Hence there is an increasing demand from the industry for persons with a high level of quantitative and analytical skills.

Programme Structure and Curriculum Rationale

The programme is conducted jointly by the Faculty of Science, NUS Business School and School of Computing. The curriculum is multidisciplinary with coverage in the following areas:

  1. Mathematical Theory and Tools
  2. Statistical Tools
  3. Computing Theory and Techniques
  4. Financial Theory and Principles
  5. Core Financial Product Knowledge

The Quantitative Finance course enables students to have an integrated overview of how mathematical methods and computing techniques are applied to finance. With rapid developments of new financial products requiring quantitative skills, the curriculum also provides students with solid financial product knowledge and the know-how for creating new structured financial products.

Career Prospects

With the forthcoming implementation of Basel II, which requires quantitative modelling and risk management, there will be a big boost in demand for graduates in quantitative finance.

Career opportunities are available in financial institutions such as banks, securities firms, insurance companies, investment companies, IT firms that support the financial institutions and multinationals. Graduates could find jobs in financial product development and pricing, risk management, derivatives pricing, hedging and trading, quantitative modelling, IT support for derivatives trading and risk management, investment decision support, quantitative portfolio management and asset management and wealth management.

Graduation Requirements

To be awarded a B.Sc. or B.Sc. (Hons.) with a primary major in Quantitative Finance, candidates must satisfy the following:

Module Level Major Requirements Cumulative Major MCs
Level-1000

(16 MCs)

CS1010 /
CS1010E /       Programming Methodology
CS1010S/
CS1010X

ACC1701          Accounting for Decision Makers

MA1101R         Linear Algebra I

MA1102R        Calculus

16
Level-2000

(20-21 MCs)

Pass

FIN2704         Finance

MA2213           Numerical Analysis I   or    DSA2102 Essential Data Analytics Tools: Numerical Computation

MA2216 /        Probability
ST2131

MA2108 /        Mathematical
MA2108S         Analysis I

MA2104            Multivariate Calculus

36-37
Level-3000

(28 MCs)

Pass

QF3101           Investment Instruments: Theory and Computation

MA3269           Mathematical Finance I

ST3131            Regression Analysis

Two modules from the following:

  • MA3220       Ordinary Differential Equations
  • MA3236       Nonlinear Programming
  • MA3252       Linear and Network Optimisation
  • MA3264       Mathematical Modelling

Two modules from the following:

  • FIN3701       Corporate Finance
  • FIN3703       Financial Markets
  • FIN3713        Bank Management
  • FIN3714        Financial Risk Management
64-65
Level-4000 and above

(32 MCs)

Pass

QF4199           Honours Project in Quantitative Finance

QF4102           Financial Modelling

MA4269          Mathematical Finance II

Three modules from the following:

  • QF5210        Financial Time Series: Theory and Computation
  • FIN4711       Research Methods in Finance
  • FIN4761       Seminar in Finance
  • MA4254       Discrete Optimisation
  • MA4255       Numerical Partial Differential Equations
  • MA4260       Stochastic Operations Research
  • MA4264       Game Theory
  • ST4233        Linear Models
  • ST4245        Statistical Methods for Finance
  • MA5245       Advanced Financial Mathematics
  • MA5248       Stochastic Analysis in Mathematical Finance
96-97
Summary of Requirements B.Sc. B.Sc. (Hons.)
University Requirements 20 MCs 20 MCs
Faculty Requirements 12 MCs* 12 MCs*
Major Requirements 64-65 MCs 96-97 MCs
Unrestricted Elective Modules 23-24 MCs 31-32 MCs
Total 120 MCs 160 MCs

*  Up to 4 MCs of Faculty requirements of the total of 16 MCs required for the B.Sc. (Hons.) programme are fulfilled through the reading of MA/CS modules within the major.

Students of the B.Sc. and B.Sc. (Hons.) programmes are required to fulfil the remaining 12 MCs of Faculty requirements from any three (3) of the following subject groups: Chemical Sciences, Life Sciences, Physical Sciences and Multidisciplinary & Interdisciplinary Sciences, but not from the following subject groups: Computing Sciences and Mathematical & Statistical Sciences.

To apply for this major, please refer to the application procedure given in http://ww1.math.nus.edu.sg/undergraduates.aspx?f=UP-QF#scrolltop for details regarding the admission requirements and the application form.