Can someone recommend some universities that provide MSc, or even PhD,in financial mathematics? I'm looking for something that actually requiressome mathematics, as opposed to something that tries to make the fieldmathematically easy to attract non-mathematical students to the program.To give you a glimpse of what I'm looking for:I want to get a chance to read and thorougly study books like Monte CarloMethods by Glasserman, Interest Rade Models by Brigo and Mercurio,Stochastic Calculus by Shreve (and other more mathematical books onstochastic calculus), and Martingale Methods in Financial Modelling byMuselia and Rutkowski. Some fairly advanced things like that.I hope this gives you an idea what I'm looking for. In short: I wantsome mathematics. But I don't want to do a literal "PhD inmathematics" because I'm not interested in doing graduatestudies in topology, algebraic geometry, complex analysisand such fields of pure mathematics.

To name a few more, I would also like to study arbitrage theory, e.g.Arbitrage Theory in Continuous Time by Björk.And I also forgot to mention that I'm interested in studying FiniteDifference Methods, e.g. Finite Difference Methods in FinancialEngineering by Duffy.

Hi Y0da,I would bet that you have never read "Stochastic Calculus and Brownian Motion" by Shreve and Karatzas ..... if you had you wouldn t want to study more advanced books on stochastic calculus believe me!Regarding your question:In the UK: you have PhDs in Financial Maths in Cambridge, Oxford, Imperial, Warwick.In the US: Columbia, NYU, Chicago, Carnegie Mellon, Princeton, Stanford.In all of these (and undoubtedly many other unis), you ll find supervisors in maths departments who are doing financial maths.Good luck

Can anyone recommend any books that are typically studied for an MFE or very quantitative Finance MSc please? I'm coming from a finance and economics undergrad background and want to see how hard the maths is compared to what I've studied before.

Hi, You can check here, you will have a good idea.Recommended Readings

Excellent, I've have a look at those, particularly the Boas book. Thank you very much

Y0da,I don't know where you live, but you can try the University of Amsterdam, their department of Quantitative Economics might have Phd-places on this area.