Review University of Cape Town Mathematics of Finance Program


Staff member

This review was submitted on 11 Sept 2010 by a student who studied full-time in the program from 1/2009 to 2/2010

Can you tell us a bit about your background?
Undergrad and Honours degree in Actuarial Science, Finance and Statistics.
Had done CFA Level 1 and most of the exams required for being a Fellow of the Institute of Actuaries (Oxford UK).

Did you get admitted to other programs?
No. Didn't apply

Why did you choose this program (over others, if applicable)?
It was in Cape Town - most beautiful city in the world. Also, I had heard that it was highly rated by people in the industry (especially in South Africa and UK). The course structure was a good mix of theory and practical instruction.

What alternative sources of info you used to learn more about the program?

Tell us about the application process at this program
Fairly good grades are required.

On a scale of 1-10, how would you grade the accessibility of the faculty and staff? (1 worst, 10 best)

Does this program offer refresher courses for incoming students? What do they offer and how much it costs?
Yes. 4 weeks of probability theory, statistics and financial economics are required pre-courses. I found them boring as I had seen most of the stuff before in my actuarial studies.

On a scale of 0-10, how would you grade the usefulness of these refresher courses?

Tell us about the courses selection in this program. Any special courses you like?
Stochastic calculus, financial regression, advances time series, advanced econometrics, asset pricing, portfolio theory, numerical methods (VBA & R).
The stochastic calculus courses were the most interesting and covered topics such as foundational stochastic calculus (all the theory from Ito onwards) to more practical topics such as stochastic volatility models (Heston, Bates etc), exotic derivatives pricing and risk management and advanced interest rate modelling.
The numerical course was excellent and tied in nicely with the theoretical aspects of other courses.

On a scale of 1-10, how would you grade the flexibility of the curriculum?

Tell us about the quality of teaching
Some lecturers were better than others. Overall mostly fine.
Dr Graeme West ( was particularly excellent.

On a scale of 1-10, how would you grade the quality of teaching?

Materials used in the program
Hull -Options, Futures and Other Derivatives
Bjork - Arbitrage Theory in Continuous time
Cochrane - Asset pricing
Rennie and Baxter - Intro to Financial Calculus
Dr Graeme West - own notes (industry standard in SA - see

On a scale of 1-10, how would you grade the practicality of the curriculum?

Programming component of the program
Mainly VBA and R. Eviews and Matlab is also used extensively. I used C# for my dissertation.

Dissertation - Asian option pricing (Monte Carlo with SOBOL or Mersenne Twister, PDE, closed form solutions)
- Calibrating Stochastic Volatility Model to DAX data (Heston and Bates)
- Longstaff method of valuing american-style derivatives using Least-Square Monte Carlo
- Pricing and hedging Variance Swaps
And many other smaller ones

Career service
UCT has a general career service but not particular to the MPhil Programme

On a scale of 1-10, how would you grade the career service for internship and full-time job?

What do you like about the program?
Flexible, practical, cutting edge theory.

On a scale of 1-10, how would you grade the value of the program for the price tag?

What DON’T you like about the program?
University of Cape Town is not well known internationally. Needs to be marketed better.

Suggestions for the program to make it better
More courses on Risk Management would be better (e.g. Credit Derivatives, VaR etc)
C++ or C# should be offered as an elective

On a scale of 1-10, how would you grade your experience in the program?

What are your current job status? What are you looking for?
Actuarial Specialist/Quant at a large international financial services company

On a scale of 1-10, would you recommend this program to others?

Other comments
Delivers substantial "bang" for your buck and it's located on one of the most beautiful campuses in the world in THE most beautiful city in the world - Cape Town.
Also, the women here are pretty hot.
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haha...its funny that you ended the review with the fact that women in SA are pretty hot. i looked at the program. it seems pretty good. hope you learned a lot from the program...