ST409      Half Unit
Stochastic Processes

This information is for the 2015/16 session.

Teacher responsible

Dr Umut Cetin COL 6.08


This course is compulsory on the MSc in Financial Mathematics and MSc in Risk and Stochastics. This course is available on the MSc in Applicable Mathematics, MSc in Econometrics and Mathematical Economics, MSc in Management and Regulation of Risk, MSc in Risk and Finance, MSc in Statistics, MSc in Statistics (Financial Statistics), MSc in Statistics (Financial Statistics) (Research) and MSc in Statistics (Research). This course is available with permission as an outside option to students on other programmes where regulations permit.


Students must have completed Further Mathematical Methods (MA212).

Good undergraduate knowledge of distribution theory

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.


20 hours of lectures, 10 hours of seminars and 10 hours of workshops in the MT.

Week 6 will be used as a reading week.

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.


Exam (100%, duration: 2 hours) in the LT week 0.

Student performance results

(2011/12 - 2013/14 combined)

Classification % of students
Distinction 26.8
Merit 24.7
Pass 29.4
Fail 19.1

Key facts

Department: Statistics

Total students 2014/15: 57

Average class size 2014/15: 59

Controlled access 2014/15: No

Value: Half Unit

Guidelines for interpreting course guide information

Personal development skills

  • Team working
  • Problem solving
  • Application of information skills
  • Application of numeracy skills
  • Specialist skills