madness said:
Anyway my director of studies told me that it was a much more prestigious degree, which i would think means it is more difficult aswell.
The issue of difficulty between theoretical and experimental physics is quite a big one. Personally, I think experimental physics gets rather a hard time from Undergraduate students - it's often seen as tedious, boring and wasteful at those points. I feel the reason for this is probably as simple as the fact that Labs are one of the few things in an undergraduate degree that students are completely forced into - with lectures there's a choice and attendance need only be around 70% or so, so it's easy to pick and choose the subjects you like.
As far as one being more difficult than the other goes, it's not quite as simple as that either. True, on the mathematical physics course the math courses you'll be taking will be more difficult but on the balance you'll also have much more time to cover the material. Experimental physics can be about noticing things, picking up on the minor issues between a good result and nonsense.
So far in my degree I've found lab-work more difficult, by all means the math courses I've managed to take haven't been seen as super-difficult or anything but in the more theoretical courses I've covered so far I've found that the results and processes come to me in a much more natural way than learning the experimental side of things have. Up until recently, when I had the choice between theoretical lab work and observational, I'd pick theoretical. I then realized that I avoid observational work because I'm not as good at it - not a good idea!
Lastly, your degree is all about what you want. Any undergraduate degree in physics should leave you enough room to enter most areas in the field with little training - as is being discussed in a thread elsewhere, engineering is a popular example. If you want to do theoretical physics for the most part, you're making the right choice. (Also, I visited the open day for the theoretical physics course a few years ago which is how I guessed - it did look very appealing - enjoy.)