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Review of Oxford MScMCF

Khorge

Member
I'm a student just about to finish up the Oxford's MSc in Mathematical and Computational Finance and I'd like to share some of me and my colleagues' thoughts on the course for the benefit of future candidates.

Basic Stats

# of Students: 29
# of Applications: ~500 (bear in mind the admission test narrows this down considerably vs. other schools)
Length: 10 months
Cost: ~25k GBP (tuition and college fees) + 1-2k living costs per month?
This should be on the website: https://www.maths.ox.ac.uk/courses/mathematical-finance/msc-mcf

Employment Statistics
Post graduation employment statistics aren't given so I'll give this year's breakdown from what I know.

Full Time: 5 - 7 (2 had return offers from before the course)
Internships: 6 - 9
Further study: 1 - 3
(Statistics taken just before the end of the course - no doubt some will find jobs after the course etc..)

From my sources, previous cohorts also had similar employment statistics at this stage in the course.

All jobs are based in London, except for 1 in Europe, 1 in Hong Kong and 1 in the US.
Employers include the top tier IBanks, a quant hedge fund and a trading firm.

You will get (some) interviews from the reputation of Oxford mathematics but this alone will not secure you a job.

What I liked
  • General Oxford experience - old architecture, punting, societies, Oxford Union etc...
  • Top notch facilities - especially the new Mathematical Institute building. It's arguably the coolest math building in the world :D.
  • Excellent teaching - Apart from one or two lecturers, the quality of teaching is exceptional. You are taught by some fairly big names in financial mathematics.
  • Solid coursework - The coursework is very rigorous and a lot more theoretical than other programs. The overall focus of the course has been on derivatives pricing although you have an option next year to focus on data-driven topics e.g. algo trading and market microstructure.
What I didn't like
  • Course structure - This is by far the biggest complaint among the current students and to Oxford's credit the course will be restructured next year (2014/2015) in light of this. We learned programming far too late to be useful in interviews and were expected to find jobs at the very beginning of the course when the graduate recruitment season began.
  • C++ Programming Courses - You learn the basics and then learn how to use and extend the lecturer's own library. This is inadequate preparation for quant interviews and actual quant work. You will need to study some Comp. Sci (e.g. sorting algorithms) yourself.
  • Course is too intensive/long. The course tries to pack in too much material for the 10 months and as a result you will be pressed hard. By the start of the final semester only less than 40% of the course marks have been assessed. Make no mistake - this course is one of the most difficult in Oxford.
  • No careers service - you have a careers office (outside of the department) but nothing else. No one is actively searching for roles for you unlike at some top US programs. You might also get some networking sessions/presentations from banks/HF's but that's about it.
What I'm neutral about
  • Dissertation and Miniprojects - These were very time consuming - you need to do all of these during Trinity term. That's around 60-80 pages of stuff you are required to write in 8 weeks or so. On the other hand, these projects were a good way to reinforce material learned in the first two semesters.
Overall opinion
Overall, the course was stimulating and engaging - definitely worth the money. Although the course wasn't as great as I expected it to be, it was still excellent.

Advice for potential applicants

If you want to pursue a DPhil/PhD, this program is for the most part theoretical enough to help you in admissions interviews especially in stochastic processes/PDE's. The issue is with timing - ideally you should apply towards the end of the course when you have marks and know the faculty better but unfortunately the isn't usually the case.

If you want to apply hoping to find a quant job after graduation, my advice is to be prepared.
Students with no experience in finance beforehand only managed to secure internships at best. Those students who managed to obtain full time work had internships behind them and the Oxford brand only helped to land interviews. The job hunt begins as soon as you arrive - banks' graduate recruitment opens near the start of the course. You will not have had sufficient time to study programming/brainteasers/stochastic calculus etc. to succeed in any early interviews. Statistics/Time-series analysis are also useful skills to have going into the course.

Also Oxford's location should not factor into your decisions - the bus to London takes only 1-2 hrs.

US vs. UK
The top US quant finance programs (Columbia, CMU, Princeton etc.) have better careers services - they have active alumni recruitment programs or whatever they call it.
US programs are longer (1.5-2 years) and UK programs are shorter (1 yr). More time to get internships and to land that full time job.
In the US you get jobs via networking and over here you have to apply online mostly.
The US market seems a lot more competitive than in the UK.

It feels like that there are more investment banking quant jobs in London but fewer prop shop or hedge fund jobs.

What other courses should I consider (in the UK)?
Imperial has better careers services and employment outcomes - I'd do their industrial training over a dissertation anyday! :LOL:
Cambridge Part III is cheaper and just as employable/reputable as Oxford, imo. However, some say it's even more 'hardcore' than even the Oxford MScMCF.
I don't know about LSE but my fellow students say its much worse than Oxford.

Frankly, you will have difficulty finding quant jobs if you are in lower ranked universities. Banks' tend to hire from Oxford, Cambridge, Imperial, LSE in no particular order.

Feel free to ask any questions below.
 
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Ole Bueker

Active Member
Thanks for the very informative post!

Could you post a list of the mathematics courses, as well as the textbooks used? Always curious to see what other programs study.
 

Daniel Duffy

C++ author, trainer
C++ Programming Courses - You learn the basics and then learn how to use and extend the lecturer's own library. This is inadequate preparation for quant interviews and actual quant work. You will need to study some Comp. Sci (e.g. sorting algorithms) yourself.

Data structures and algorithms are essential.

In general, university approach to programming is a million miles away from industry. But you will know what the difference is after a while!
 

Khorge

Member
Thanks for the very informative post!

Could you post a list of the mathematics courses, as well as the textbooks used? Always curious to see what other programs study.

The courses don't really require you to read through textbooks since the lecture notes are more than detailed enough. We have a pretty extensive library of textbooks dedicated to us MScMCF students - not to mention the many departmental and college libraries!

As for next year's courses:

Introductory courses
Probability and Statistics with R
Partial differential equations
Matlab

Michaelmas term
Michaelmas term will focus on the core material, that is
compulsory for all students. The term covers 80 hours of lectures and 40 hours of classes/practicals.
Stochastic Calculus
Financial Derivatives
Numerical methods 1 - Monte-Carlo Methods
Numerical methods 1 - Finite Difference
Statistics and financial data analysis (not sure what's in this - new course)
Financial programming with C++ 1

Hilary term
In Hilary term, three streams of specialised courses are offered; each stream consists of 32 hours of lectures and 16 hours of classes/practicals in total. The "Tools" stream is mandatory for all students, and each student will take either the "Modelling stream" or the "Data-driven stream" for credit.

Modelling stream
Exotic derivatives
Stochastic volatility, jump diffusions
Commodities
Fixed income
Credit derivatives

Data-driven stream
Asset pricing and inefficiency of markets
Market microstructure and trading
Algorithmic trading
Advanced financial data analysis
Econometrics of volatility
Machine learning

Tools stream
Numerical methods 2 - Monte Carlo methods
Numerical methods 2 - Finite dierences
Calibration
Optimisation
Introduction to stochastic control

Quantitative Risk Management
On top of the streams, the course offers a one week (24 hours of lectures) intensive module on
Quantitative Risk Management which is to be held in/around week 0 of Trinity Term and is mandatory for all the full time MSc students.

Trinity term
Trinity Term is dedicated to the dissertation project which is to be written on a
topic chosen in consultation with a supervisor.
Financial computing with C++ 2

This is restructured slightly from our year but we covered the same material. As mentioned before, the courseload is insane - they are essentially fitting the 2yr programs that are popular in the US into 10 months.
 

Ole Bueker

Active Member
I was asking for the books mainly to check the level of the individual courses, e.g. does the stochastic calculus course go beyond Shreve II etc.

Seems like a really intensive program, quite a lot of courses for a 10 month period.
 

Khorge

Member
I was asking for the books mainly to check the level of the individual courses, e.g. does the stochastic calculus course go beyond Shreve II etc.

Seems like a really intensive program, quite a lot of courses for a 10 month period.

The courses are at the same level of Shreve - maybe a touch more theoretical? We were using Williams - Probability with Martingales as well.
 

bigbadwolf

Well-Known Member
We were using Williams - Probability with Martingales as well.

Not a great book, in my opinion. Too terse, too theoretical.

Trying to condense a 2-year course into ten months can only be detrimental -- not enough time to think and to digest. I've seen this frequently in English universities. Even the best don't have time to digest -- so they think they know the material based on their course grade but actually they don't.
 

Khorge

Member
Not a great book, in my opinion. Too terse, too theoretical.

Trying to condense a 2-year course into ten months can only be detrimental -- not enough time to think and to digest. I've seen this frequently in English universities. Even the best don't have time to digest -- so they think they know the material based on their course grade but actually they don't.

I completely agree - most of us were learning the material simply to pass the test. You start to forget a lot of the content after a few weeks/months.

However the Trinity term dissertation is useful in that it forces you to revise and digest material.
 

kuant

New Member
Hi khorge,

I just have a couple of questions about what you said:

1) Do you know what will be different about C++ in the new structure?

2) Also, you mention that it would be useful to know some statistics/time series before the course. Could you please give a little bit more detail on that (how much stats/time series, what topics in particular, etc.)?

3) On the careers side of things, did many companies come to Oxford for presentations or is it up to the students to apply, etc. I am not talking about the main banks because it is usually straightforward to apply for their jobs, but for the hedge funds (and smaller companies) it is much harder in general (even to find them!).

4) I know that you will know little about this since it will only be implemented this year, but do you have an opinion on the options available (ie either Data or Modelling streams) in the new structure -- maybe you know some of the lecturers/took some similar modules?

5) Apart from that do you have any general advice on how to deal with the rhythm of the MSc especially in terms of preparing for the dissertation?

Thanks a lot!
 

Phongvasu

Active Member
C++
What other courses should I consider (in the UK)?
Imperial has better careers services and employment outcomes - I'd do their industrial training over a dissertation anyday! :LOL:
Cambridge Part III is cheaper and just as employable/reputable as Oxford, imo. However, some say it's even more 'hardcore' than even the Oxford MScMCF.
I don't know about LSE but my fellow students say its much worse than Oxford.

Frankly, you will have difficulty finding quant jobs if you are in lower ranked universities. Banks' tend to hire from Oxford, Cambridge, Imperial, LSE in no particular order.

Feel free to ask any questions below.

I am wondering what courses were you referring to when you mentioned about Cambridge, Imperial, and LSE.
The one in their business school? Math department? or what?

Thank you for your answer.
 

Shetty

New Member
I am currently pursuing a Bsc Economics and Finance Course which involves a few mathematics courses but i am really interested in this course and i feel i know the content which is given in the admissions test. So if i am able to pass the test do you think i ll have an equal opportunity like others in getting an admission to that course.

In short if i am able to surpass the scores entry requirements and ace the admission test will i be treated equally like the other students from maths and engineering backgrounds
 
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