MSc Quantitative Finance

Fees for entry in 2027 have not yet been set. For reference, the fees for the academic year beginning September 2026 were as follows:

• MSc (full-time)
  UK students (per annum): £22,600
  International, including EU, students (per annum): £36,800

The fees quoted above are fully inclusive of tuition, administration and computational costs.

Fees for entry are subject to yearly review. The University reserves the right to increase your tuition fee by up to 7% each year for courses lasting more than one year, including to reflect rising costs associated with delivering our educational and wider student experience. Postgraduate fees information .

Always contact the admissions team if you are unsure which fee applies to your qualification award and method of attendance.

All students should normally be able to complete their programme of study without incurring additional study costs over and above the tuition fee for that programme. Any unavoidable additional compulsory costs totalling more than 1% of the annual home undergraduate fee per annum, regardless of whether the programme in question is undergraduate or postgraduate taught, will be made clear to you at the point of application. Further information can be found in the University's Policy on additional costs incurred by students on undergraduate and postgraduate taught programmes (PDF document, 91KB).

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Graduates of The University of Manchester and Manchester Metropolitan University can receive a 10% discount on their master's degree tuition fees as part of our Manchester Alumni Loyalty Discount scheme.

This course provides students with the foundations of interest rate concepts and models for the purpose of pricing interest rate derivatives. It covers both single- and multi-period interest rate instruments and term structure models that are based on spot and forward rates. A number of well- known models (e.g. Vasicek, Hull- White,and Market Model ) will be studied. In addition, it will cover market risks, VaR (Value at Risk), counterparty credit risk, and how such risks may impact on the pricing and risk management of interest rate derivatives. 

BMAN63012 Programme Req: BMAN63012 is only available as a core unit to students on MSc Quantitative Finance

None (However, knowledge of basic derivatives is assumed, e.g. call, put, Black-Scholes etc.)

This course gives students the foundations of interest rate concepts and models for pricing interest rate derivatives. It covers both single- and multi-period interest rate instruments and term structure models based on spot and forward rate. Several well-known models (e.g. Vasicek, Hull-White and Market Model) will be studied. The course also covers counterparty credit risk and market risk, and examine how such risks may impact on the pricing and risk management of interest rate derivatives.

On completion of this unit successful students will have achieved the following learning outcomes:

•  Appreciate the differences between the various types of interest rates, and the theories driving the shapes of the term structure and interest rate models.
•  Have a broad knowledge of the simpler single period and more complex multiperiod interest rate contracts.
•  Understand the different approaches to modeling interest rates, their different assumptions and the principle of valuation by no arbitrage.
•  Have a detailed knowledge of the key spot rate models, the fundamentals of forward rates and  Forward Rate Market Model as the most important special case.
•  Gain an appreciation of the nature of market risks & credit risks and examine how such risks affect the price and risk management procedures of interest rate derivatives.

The methods of assessment for this unit allow students to demonstrate achievement of all intended learning outcomes.  Many students find these key skills essential for job placements in the finance industry. The financial risk management concepts and practice introduced here will form a good foundation for Bank’s CBES (climate scenario analysis exercise) and stressed tests, an essential part of the global response to climate change.
 

Midterm Test (30%)

Examination (70%) 

•  Informal advice and discussion during lectures, seminars, and workshops.
•  Online exercises and quizzes delivered through the Blackboard course space. (during workshop time, and through discussion board)
•  Responses to student emails and questions from a member of staff including feedback provided to a group via an online discussion forum.
•  Written and/or verbal comments on assessed or non-assessed coursework.
•  Written and/or verbal comments after students have given a group or individual presentation.
•  Generic feedback posted on Blackboard regarding overall examination performance.

Poon, Stapleton and Subrahmanyam (2022) "Pricing and Hedging Interest rate derivatives", Manuscript, Manchester University and New York University (available on Blackboard).

Key References:
Hull J.C. (2021), Options, Futures and Other Derivatives: Global edition, 11/E, ISBN-10: 1292410655, ISBN-13: 978-1292410654, Pearson Higher Education.

Gregory Jon K. (2012) "Counterparty Risk: The New Challenge for Global Financial Markets, John Wiley and Sons, 2nd ed.
 

Informal Contact Methods

Office hours

Online Learning Activities (blogs, discussions, self assessment questions)

Peer Assisted Study Sessions (group assignment, group based workshop exercises)

Drop in Surgeries (extra help sessions for students on material they may be struggling with)

Face-to-face discussion of sample assignment(s)