Quantitative Finance, full-time, second cycle

The Quantitative Finance Program at the Faculty of Economic Sciences, University of Warsaw is a four-semester program on a full-time basis that provides students with outstanding knowledge of modern quantitative finance.

„Quantitative Finance” is the 13^th best program in Eduniversal TOP 100 Best Masters 2022 in Financial Markets.

The distinctive feature of this program is that it combines the overall fundamentals of economic theory with specialized knowledge in finance. The basic aim of this specialization is to provide students with theoretical knowledge from the field of quantitative finance combined with its practical applications in financial institutions, taking into account the latest trends in financial world.

The degree combines economic methods, quantitative techniques and state-of-the-art financial analyses to give students a strong background from which to pursue their careers. Students are encouraged to develop their abilities to use economic analysis in a variety of finance-related problems. Significant course work is devoted to the development of mathematical and statistical skills. These skills are necessary to evaluate the uncertain outcomes found in financial applications. The program provides student with the opportunity to apply their knowledge and skills to projects that utilize financial tools and techniques.

The curriculum is intended to prepare students to tie up their careers with financial institutions, where they will be able to:

• deal with complicated derivatives pricing models (Derivatives Markets, Equity and Fixed Income,Theory and Practice of Option Pricing, C++ in Quantitative Finance, Computational Finance),
• manage the various risks in financial institutions (Risk Analysis and Modeling, Corporate Finance),
• simultaneously gain the competence of managing the portfolio of assets considering the ongoing changes in financial environment (Asset Allocation and Investment Strategies and Financial Statement Analysis),
• get profits knowledge about the latest achievements in financial research (Empirics of Financial Markets).

Presented knowledge and skills will be enriched with the proper dose of economic theory (Advanced Microeconomics and Advanced Macroeconomics), courses in mathematics and econometrics (Mathematical Methods in Finance, Time Series Analysis, Quantitative Strategies. High Frequency Data) and courses which present the architecture of the financial world (Theory of Finance), which help the students not only to understand the complicated world of financial models but to find a proper place for themselves in it as well.

The program assumes that students will be equipped with theoretical knowledge and practical applications which enable them to take independent decision basing on the real-time financial data with use of tools and techniques dynamically developing in modern finance. 2007-2009 capital market turmoil were the best illustrations that there is lack of high-quality professionals who treat this subject as the main point of expertise.

The QF track is intended to prepare students for a wide range of careers inside and outside the financial industry including financial engineering and risk management, macroeconomic and financial forecasting, quantitative asset management, quantitative trading and applied research.

During the curriculum students acquire mathematical background in areas of:

• probability and statistics;
• portfolio theory;
• equity and interest rate derivatives, including exotics;
• linear algebra and differential equations;
• differential, integral and stochastic calculus.

We teach our students how to:

• apply mathematical models to support more accurate asset pricing, stock selection, asset allocation, investment portfolio analysis or securities trading;
• quantify statistical parameters, such as volatility and correlation of returns, to achieve new ways of assessing risk and designing effective hedging strategies;
• perform computerized algorithmic trading which replaces the traditional process subjective trading decisions;
• validate models, conduct research and create new strategies;
• provide to traders pricing and trading tools;
• search for market-neutral investment strategies;
• price options, convertibles and other derivatives;
• control and manage risk;
• model the behavior of financial markets.

Additionally, the planned curriculum and the level of difficulty of courses assume solid background for students who wish to conduct independent research and continue their education on Ph.D. studies in the field of finance at Polish and foreign universities.

Studies in English are payable. Students with best academic and scientific performance may apply for tuition fee waivers as described in the Faculty's Teaching Council resolutions. For more information, please visit our website.

Admission rules for candidates with Polish diplomas

The maximum amount of points available to obtain in the admission procedure is 100. Minimum amount of points required for qualification: 30.

1. Candidates must hold a bachelor's, engineering, master's degree or equivalent degree from any field of studies.

2. Candidates' points are calculated according to the following formula

Su x Ś x W+REL

Where:

· (Su) is the coefficient for having the status of a 'research university' (the Ministry of Science and Higher Education's 'Excellence Initiative - Research University' competition) by the degree-awarding institution in the year of UW enrollment. Having the status of a research university - a factor of 10, lack of this status - a factor of 9.

· (Ś) is the final grade from study. Final grade expressed on a scale other than the one used at the University of Warsaw (2-5), will be assimilated to it.

· (W) is a factor of:

o 1.8 - in case one of the following conditions is met:

- The candidate's program of study included AT LEAST 90 hours of microeconomics and 90 hours of macroeconomics, and 60 hours of econometrics, and 60 hours of finance;

- The candidate's program of study included AT LEAST 150 hours of mathematical analysis and at least 60 hours of physics, or 60 hours of chemistry, or 60 hours of computer science, or 60 hours of finance;

- The candidate's program of study included AT LEAST 150 hours of mathematical analysis and 60 hours of mathematical statistics;

- The candidate's program of study included AT LEAST 180 total hours in programming subjects such as: Programming in R, Python, SAS, C++, C#, Java and others.

o 1 - in other cases, when none of the above criteria are met.

· (REL) to Research Experience Letter (optional) - additional 10 points.

Research Experience Letter is a document providing a description of experience, related to the field of study for which the Candidate is applying, confirmed by project supervisors. Projects, carried out as part of studies, student activities, scientific research work and professional experience will be taken into account.

Essential Elements of a Research Experience Letter:

- Description of the projects and the nature of the candidate's participation in the projects

- Data and supervisor function of each project

- Confirmation by the project supervisor(s) with the signature / stamp of the data contained

The total points for the Research Experience Letter consist of:

- Value of the candidate's achievements (4 points);

- Connection of projects with the scope of studies for which the candidate is applying (4 points);

- Relationship between the recommender and the candidate's educational / professional career (2 points)

3. Candidates independently fill out the application form, made available on their personal registration account in the IRK system, in which they attach scans of documents necessary for the calculation of enrollment points and indicate selected subjects affecting the value of the W factor, described in section 2, for evaluation by the admissions committee.

Subjects other than those indicated by candidates are not considered by the selection committee. On the basis of the completed application form, the committee decides whether the candidate meets the criteria for consideration of the higher factor (W).

Candidates are required to submit syllabuses of selected subjects, and the committee in its evaluation may take into account the compatibility of economic and mathematical subjects with the program at the UW.

Optionally, candidates also include a scan of the Research Experience Letter.

4. Check the competence of candidates to study in English

Candidates are required to present a document recognized by the University of Warsaw certifying their knowledge of English at a level of at least B2.

Information on documents certifying knowledge of the English language. >> Check! <<

Admission rules for candidates with foreign diplomas

The maximum amount of points available to obtain in the admission procedure is 100. Minimum amount of points required for qualification: 30.

1. Admission to a master-degree program requires a bachelor's, engineer's, master's or equivalent diploma in any field of study.

2. Candidates' points are calculated according to the following formula

Su x Ś x W+REL

Where:

· (Su) is the coefficient for the university's position in the Shanghai Ranking in the year of UW university enrollment. Position 1-500 - a factor of 10, further positions or no university on the ranking list - a factor of 9.

· (Ś) is the final grade from study. Final grade expressed on a scale other than the one used at the University of Warsaw (2-5), will be assimilated to it.

· (W) is a factor of:

o 1.8 - in the event that one of the following conditions is met:

- The candidate's program of study included AT LEAST 90 hours of microeconomics and 90 hours of macroeconomics, and 60 hours of econometrics, and 60 hours of finance;

- The candidate's program of study included AT LEAST 150 hours of mathematical analysis and at least 60 hours of physics, or 60 hours of chemistry, or 60 hours of computer science, or 60 hours of finance;

- The candidate's program of study included AT LEAST 150 hours of mathematical analysis and 60 hours of mathematical statistics;

- The candidate's program of study included AT LEAST 180 total hours in programming subjects such as: Programming in R, Python, SAS, C++, C#, Java and others.

o 1 - in other cases, when none of the above criteria are met.

· (REL) to Research Experience Letter - (optional) additional 10 points.

Research Experience Letter is a document providing a description of experience, related to the field of study for which the Candidate is applying, confirmed by project supervisors. Projects, carried out as part of studies, student activities, scientific research work and professional experience will be taken into account.

Essential Elements of a Research Experience Letter:

- Description of the projects and the nature of the candidate's participation in the projects

- Data and supervisor function of each project

- Confirmation by the project supervisor(s) with the signature / stamp of the data contained

The total points for the Research Experience Letter consist of:

- Value of the candidate's achievements (4 points);

- Connection of projects with the scope of studies for which the candidate is applying (4 points);

- Relationship between the recommender and the candidate's educational / professional career (2 points)

3. Candidates independently fill out the application form, made available on their personal registration account in the IRK system, in which they attach scans of documents necessary for the calculation of enrollment points and indicate selected subjects affecting the value of the W factor, described in section 2, for evaluation by the admissions committee.

Subjects other than those indicated by candidates are not considered by the selection committee. On the basis of the completed application form, the committee decides whether the candidate meets the criteria for consideration of the higher factor (W).

Candidates are required to submit syllabuses of selected subjects, and the committee in its evaluation may take into account the compatibility of economic and mathematical subjects with the program at the UW.

Optionally, candidates also upload a Research Experience Letter scan to their personal registration account in the IRK system.

4. Check the competence of candidates to study in English

Candidates are obliged to hold one of the documents accepted by the University of Warsaw, certifying their competence in the English language at least at the B2 level.

Information on documents certifying knowledge of the English language. >> Check! <<

Deadlines

Announcement of results: 24th of September, 2024

Reception of documents: 

• I round: 25th-26th of September, 2024
• II round (in case of not fulfilling the limit during I round): 27th, 30th of September, 2024

Payments

Application fee

Student's ID payment (ELS)

The studies are payable - tuition fees

Required documents

List of required documents submitted by candidates qualified for studies

Additional information

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