牛津大学数学与计算金融专业手册（英文版）
HANDBOOK FOR THE M.Sc. MATHEMATICAL AND COMPUTATIONAL FINANCE
Issued October 2010

Contents
1 The M Sc Course 4
1.1 Aims . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.2 Course Structure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.3 The Academic Year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
1.4 Supervisors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
1.5 Key contacts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2 COURSES OFFERED IN 2010/2011 5
3 GUIDANCE ON EXAMINATION REGULATIONS 7
3.1 EXTRACT FROM UNIVERSITY EXAMINATION REGULATIONS . . . 7
4 EXAMINATION CONVENTIONS 8
4.1 The written examinations . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
4.2 The topics of papers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
4.3 Assessment of Options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
4.4 Financial Computing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
4.5 The Dissertation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
4.6 Overall assessment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
4.7 Criteria for distinction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
4.8 Criteria for failure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
4.9 Criteria for a pass . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
5 Student feedback 12
6 Introductory Course Synopses 13
6.1 Introduction to Partial Di erential Equations | Dr C Reisinger | 5 lectures
| Intro week . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
6.2 Introduction to Probability | Dr B Hambly| 8 lectures | Intro week . . 13
6.3 Introduction to MATLAB | Prof M Giles & Dr G Gyurko | 5 lectures and
2 practicals | Intro week . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
7 Core Course Synopses 13
7.1 Practical Stochastic Calculus | Prof T Zariphopoulou | 8 lectures MT . . 13
7.2 Stochastic Di erential Equations | Prof T Lyons | 16 lectures MT . . . . 14
7.3 Asset Pricing and Portfolio Theory | Dr M Monoyios | 8 lectures MT . . 15
7.4 Financial Derivatives 1 | Prof S Howison | 16 lectures MT . . . . . . . . 16
7.5 Numerical Methods 1: Finite Di erence Methods | Prof M Giles | 8 lec-
tures MT, 8 lectures HT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
7.6 Numerical Methods 2: Monte Carlo Methods | Dr G Gyurko | 8 lectures
MT and 8 lectures HT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
7.7 Fixed Income | Dr J Obloj | 16 lectures HT . . . . . . . . . . . . . . . . 19
7.8 Financial Derivatives 2 | Dr J Obloj | 16 lectures HT . . . . . . . . . . . 20
7.9 Stochastic Control and Dynamic Asset Allocation 1 | Dr M Monoyios &
Prof T Zariphopoulou | 16 lectures HT . . . . . . . . . . . . . . . . . . . . 21
8 Optional Lecture Course Synopses 22
8.1 Quantitative Risk Management (as for part-time MSc) | 10-12 & 14 March 22
8.2 Advanced Modelling Topics 2 (Credit,Energy) (as for part-time MSc) | 18-
21 April . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
8.3 Stochastic Control and Dynamic Asset Allocation 2 | Dr Jin | 12 lectures
TT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
8.4 Optimization Methods in Finance | Dr R Hauser | 12 lectures TT . . . . 23
8.5 Financial Time Series Analysis | Dr P McSharry | 12 lectures TT . . . . 24
9 Programming Courses 26
9.1 Financial Computing with C++ Part I - Dr G Gyurko - Hilary Term . . . . 26
9.2 Financial Computing with C++ Part II - Prof D Kramkov - in or shortly
after TT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
10 Student Support 27
11 Useful web addresses 28
12 University Policy on Intellectual Property 29
13 Regulations relating to the use of Information Technology Facilities 30
14 University's Policy on Plagiarism 36
14.1 What is plagiarism? . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
14.2 Why does plagiarism matter? . . . . . . . . . . . . . . . . . . . . . . . . . . 37
14.3 What forms can plagiarism take? . . . . . . . . . . . . . . . . . . . . . . . . 37
14.4 Not just printed text! . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
15 Electronic Resources for Mathematics 39


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