Master of Quantitative Finance (MQF)

Source: Discover Graduate Studies

 “MQF is such a great program. It’s a good combination of studying, researching, and finding a job – doing an internship.”

A graduate of Waterloo’s undergraduate mathematical finance program, Tianyi was a natural fit for the Master of Quantitative Finance program. He knew many of his professors, and appreciated the computing facilities and the support of his department.

Tianyi found that more was expected of him as a graduate student. “As an undergrad, you take courses. You are just expected to know the stuff. But as a graduate student, it’s quite different. You need to know the ins and outs of things, and they test you quite rigorously in exams, and you’re expected to do research. It’s much more difficult, but much more rewarding, I would say.”

Numeric Computation for Financial Modelling was Tianyi’s favourite MQF course because it was useful preparation for his work in the industry. “It took the theory and grouped it with programming and all sorts of complexity analysis and asks you to get your hands dirty and do all these things.”

Tianyi appreciated the industry knowledge gained during his internship. He now has a better understanding of what’s popular in the field and the work people are actually doing. He also saw first-hand just how small the finance world is, and learned the importance of making personal connections to open doors.

The internship experience even helped Tianyi with his course work during the final term of his MQF program. “It’s really nice exposure to do an internship while you’re still at school, and come back and reflect on it.”

The MQF students are interviewing for full-time jobs as they wrap up their studies. Some have accepted offers to stay with their internship group, while others are exploring different opportunities in quantitative finance. Tianyi believes they’re ready. “MQF gave me excellent preparation; knowledge-wise and skill-wise.”

Based in the Department of Statistics and Actuarial Science, this program is built upon the Finance program established in 1995 by founding director, renowned researcher Phelim P. Boyle.

The Master of Quantitative Finance (MQF) program focuses on the fundamental disciplines of mathematics, statistics, econometrics, machine learning, computer science and finance. It provides the analytical tools to solve practical problems in the complex and rapidly evolving world of today's financial industry.

Graduates from the Master of Quantitative Finance are equipped for positions with financial institutions, corporations and government regulatory organizations.

Careers include:

• financial engineers in model vetting and risk compliance
• analysts in portfolio credit risk, market risk, investment banking and audit
• asset managers and portfolio managers
• a range of positions requiring advanced skills in quantitative finance

When you apply online you will be asked to select thesis or non-thesis; however all students have the first term to decide which option they will pursue.

Thesis option

This option is appropriate for students who are interested in research and/or pursuing a PhD. In addition to the thesis, this option requires a minimum of four courses including Finance 1 and 2 and two other courses selected in consultation with their faculty advisor. Students elect to do the thesis option during their first term in the program, when they also must choose an advisor. 

Students will be required to submit a thesis proposal by the end of their second term of study. Eligibility for the thesis option is subject to approval of the thesis proposal by the Graduate Chair of the Department of Statistics and Actuarial Science.

Here is a brief description of selected past theses as well as links to the complete documents in UW Space.

Research paper option

In this option students take eight required courses and one elective course chosen in consultation with an academic advisor. They also submit a master's research paper.

First term

• Finance 1: Foundations of Finance. (no-arbitrage theory in
  discrete time, risk management, portfolio selection.)
• STAT 901: Theory of Probability 1 (measure theoretic probability)
• STAT 850: Estimation and Hypothesis Testing

Second term

• Finance 2: Asset Pricing, Financial Applications of Machine Learning, Theory and Practice (continuous-time
  finance, interest rate models)
• STAT 902: Theory of Probability 2 (stochastic calculus)
• Elective Course

Third term

• Possible internship in the financial industry

Fourth term

• Finance 3 – Current Topics in Finance (ACC 772/ACTSC 972)
• Financial Econometrics (STAT/ACTSC 974)
• Computer Intensive Methods for Stochastic Models in Finance (STAT 906)

More detailed course descriptions can be found at:

• Actuarial Science
• Statistics

Students from various disciplines are invited to apply for admission. Successful applicants have had backgrounds in quantitative fields such as actuarial science, computer science, economics, engineering, mathematics, physics and statistics.

GMAT and/or GRE scores are not required since we have our own entrance test.

If you are applying to the Master of Quantitative Finance your background should closely match the following:

General requirements

• A four-year honours degree (or equivalent) in a quantitative discipline with at least an 80% average

• Strong analytical skills and ability to handle rigorous mathematical analysis

• Programming skills: R, Matlab, Python and C++

• Superior verbal and written communication skills

• General knowledge of financial markets and economics

• Demonstrated interest in current developments in finance

• Work or co-op experience is an asset 

Specific requirements

Our program involves a very high level of mathematical rigour and we expect our students to have a solid background in mathematics.

At the minimum this will include at least the following:

• Three undergraduate courses in calculus and one course in real analysis
• Two undergraduate courses in algebra or linear algebra
• Two introductory courses in statistics and probability plus two advanced courses (at Waterloo these courses are STAT 330 - Mathematical Statistics, and STAT 333 - Probability Models)

We recommend a working knowledge of at least one programming language. In the program we provide a series of professional workshops to  learn different operating systems and different programming environments such as Excel, VBA, C++, MatLab,etc. In their course work students typically use R, Matlab and  C++.

English language proficiency

Education Testing Service (ETS) uses 0996 as the Institution Code for the University of Waterloo and 01 as Department Codes for the Graduate Studies Office when reporting TOEFL.

For students required to meet University English language proficiency certification the minimum scores required for MQF are 600 TOEFL and for the Internet-based Test (iBT) a score of 100 is required with a minimum of 26 in Speaking and Writing. Alternative English test scores are: MELAB (90), IELTS (7.5), CAEL (70).

For additional information, see the English Language Proficiency guideline.

The internship is a degree requirement for students in the Research Paper option. It provides students with practical experience in a real-world setting. We provide assistance to students in networking with companies in the financial industry. Our students may be hired by companies in the financial industry including major banks, pension funds, asset managers, insurance companies and other financial institutions. Many students are offered full-time positions by their internship employers.

The program is well respected by top firms in the financial industry and we have an excellent track record in developing internship placements and career opportunities for graduates.

Application process

You must apply for admission online.

The application deadline is January 15 each year for September admission. It is recommended that you apply by early December to allow time for referees to respond.

After your online application has been submitted, complete instructions as to how to upload your documents will be emailed to you from the University of Waterloo.

It may take four or five business days before you receive these instructions.

References

As part of your application you will be required to provide names and contact information of three referees (two must be academic).

Your referees will be contacted directly by the University after you
submit your application.

Documents you will be required to upload:

• Copies of all your university transcripts (including those where you did not complete a degree)
• Completed supplementary information Form (you will have access to this from UWaterloo)
• Your resume

When you access the supplementary information Form you will be able to input information, save and return to the form later. After you submit the form you cannot make changes.

The following are the questions on the supplemental information form:

• List courses relevant to quantitative finance. Include course title, main topics and marks achieved. Typical subject areas: finance, mathematics, statistics, probability, economics, and computing. Since the system does not keep your formatting, you will need to place three or four spaces between each course so it is easier to read (about one or two pages total).
• If you have work experience in the financial area provide a brief description including company name, your position, time period, responsibility and duties.
• Describe any activities in which you have been involved that demonstrate your leadership skills.
• List the programming languages (such as R, Matlab, C++, Python, etc.) that you know and the level of skill, for example basic knowledge, intermediate or expert.
• Provide a short statement (about half a page) outlining your interest in the Master of Quantitative Finance (MQF) program. How does the program relate to your past education and experience and your future career goals?

If you experience problems providing document uploads to the University of Waterloo the Graduate Studies Office can help.

Selection process

The Master of Quantitative Finance (MQF) admits 15 to 20 students each year. Since we typically receive many applications for the program from qualified individuals, the competition is quite rigorous and standards of admission are high.

Applications reviewed

• After the January 15 deadline, all applications are reviewed by the admissions committee who look closely at transcripts, supplemental information forms, references and resumes.
• From this review a short list of applicants are selected to write the entrance test.

Entrance test

The entrance test is required as part of the admission process.

• More details will be provided to those applicants who are short-listed for the test.
• This is a two hour diagnostic online test with questions on a wide range of topics including: mathematics, statistics and finance as well as some others relating to the program such as computational skills and career goals.
• The format of the test is a series of multiple choice, short answer and short essay questions involving some problem solving. (We do not provide sample tests for study.)

Interview

From those who write the entrance test another screening is made and selected applicants are then interviewed by the committee. The interview is a combination of quantitative questions and some focused on career goals. For applicants at a distance the interview is conducted by telephone or video conference.

Reading list

A list of topics and resources may be found at recommended reading.

Admission offers

The admissions committee is chaired by the Director of the program.

Admission offers are sent to the successful applicants in mid-March.

Fees

For a complete breakdown of fees for full-time graduate study refer to the graduate fee schedule.

The Master of Quantitative Finance (MQF) program course work option has three academic terms (full time) and one term for an internship. Students begin the program in September and complete the program in December of the following year. The regular schedule is 16 months long.

The thesis option normally requires three to five academic terms to complete. The time required depends upon the research progress of the individual student. 

Financial support

The program does not provide financial support to students.

Other potential sources of financial support available to graduate students are:

• Natural Sciences and Engineering Research Council of Canada (NSERC) postgraduate scholarships
• Limited research assistantships on an ad hoc basis.
• Domestic, thesis students may be eligible for the new Math Domestic Graduate Student Award (Math DGSA)
• Ontario Student Assistance Program (OSAP)

For additional information please contact our scholarship coordinator for the Department of Statistics and Actuarial Science.