نظرة عامة على البرنامج

Programme: BScHons in Financial Engineering

The BScHons in Financial Engineering programme is offered by the Faculty of Natural and Agricultural Sciences, Department of Mathematics and Applied Mathematics.

Admission Requirements

General Admission Regulations

All applications must be accompanied by the following documents:

1. Certified full academic transcripts from undergraduate to current level
2. Certified copy of ID or passport
3. A research concept note (not applicable to honours or coursework master's degrees)

All applicants with international qualifications must submit the following documents:

1. A SAQA evaluation of the completed qualification or a comprehensive Foreign Qualification Report
2. TOEFL or IELTS or Pearson Test of English or Oxford Test of English test results (if applicable)
3. Certified copy of passport

Admissions is based on the content of and performance in the prior degree, bridging arrangements (where required), academic merit and prior work experience (if applicable).

Minimum Admissions Requirements

1. Mathematics intensive bachelor's degree (NQF level 7)
2. A weighted average of at least 60% at final-year level of the bachelor's degree (NQF level 7)
3. An average of at least 60% each in the following subjects/modules (or equivalent) at second-year level:
   1. Calculus
   2. Differential equations
   3. Linear algebra

Programme Structure

• Minimum credits: 135
• Core credits: 91
• Elective credits: 44

The Postgraduate Coordinator has to approve the final programme composition for this programme.

Core Modules

• BAN 780: Industrial analysis 780 (16 credits) Module content: Descriptive models, mathematical programming, and discrete-event simulation modelling.
• WTW 732: Mathematical models of financial engineering 732 (15 credits) Module content: Introduction to markets and instruments, futures and options trading strategies, exotic options, and derivative disasters.
• WTW 750: Mathematical optimisation 750 (15 credits) Module content: Classical optimisation, equality constraints, inequality constraints, and modern multiplier methods.
• WTW 762: Mathematical models of financial engineering 762 (15 credits) Module content: Exotic options, arbitrage relationships, Black-Scholes PDE and solutions, and interest rate derivatives.
• WTW 792: Project 792 (30 credits) Module content: Consult Department.

Elective Modules

• ISE 780: Systems thinking and engineering 780 (16 credits) Module content: Systems engineering, tools, processes, and management fundamentals.
• LMO 710: Linear models 710 (15 credits) Module content: Projection matrices, sums of squares, and the Gauss-Markov theorem.
• LMO 720: Linear models 720 (15 credits) Module content: The singular normal distribution, distributions of quadratic forms, and generalised linear models.
• MVA 710: Multivariate analysis 710 (15 credits) Module content: Matrix algebra, multivariate measures, and visualising multivariate data.
• MVA 720: Multivariate analysis 720 (15 credits) Module content: Discriminant analysis, principal component analysis, and probabilistic clustering.
• WTW 712: Modern portfolio theory 712 (15 credits) Module content: Markowitz portfolio theory, capital asset pricing model, and Value-at-Risk calculations.
• WTW 727: Special topics 727 (15 credits) Module content: A selection of special topics presented by researchers in the Department.
• WTW 733: Numerical analysis 733 (15 credits) Module content: Numerical linear algebra, finite difference methods, and numerical stability.
• WTW 735: Main principles of analysis in application 735 (15 credits) Module content: Main principles of analysis in the context of modelling, differential equations, and numerical computation.
• WTW 755: Credit risk management 755 (15 credits) Module content: Introduction to credit risk, probability theory, and measuring actuarial default risk.
• WTW 763: Finite element method 763 (15 credits) Module content: Introduction to the theory of Sobolev spaces, variational and weak formulation of elliptic, parabolic, hyperbolic and eigenvalue problems.