ST409 Half Unit
Stochastic Processes
This information is for the 2009/10 session.
Teacher responsible
Availability
Primarily for MSc Statistics, MSc Statistics (Research), MSc Management and Regulation of Risk, MSc Applicable Mathematics, MSc Financial Mathematics, MSc Risk and Stochastics and MSc Econometrics and Mathematical Economics. Pre-requisites
Mathematics to the level of MA200/MA201 Further Mathematical Methods and a good undergraduate knowledge of distribution theory; some probability to the level of ST402 or equivalent.
Course content
A broad introduction to stochastic processes for postgraduates with an emphasis on financial and actuarial applications. The course examines Martingales, Poisson Processes, Brownian motion, stochastic differential equations and diffusion processes. Applications in Finance. Actuarial applications. Teaching
Lectures: 20 MT. Classes: 10 MT. Indicative reading
T Bjork, Arbitrage Theory in Continuous Time; T Mikosch, Elementary Stochastic Calculus; S I Resnick, Adventures in Stochastic Processes; B K Oksendal, Stochastic Differential Equations: An Introduction with Applications, D Williams, Probability with Martingales.
Assessment
Two-hour written examination in the ST. ^
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