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

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.

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.