ST440      Half Unit
Recent Developments in Finance and Insurance

This information is for the 2017/18 session.

Teacher responsible

Dr Beatrice Acciaio COL 6.02


This course is compulsory on the MSc in Quantitative Methods for Risk Management. This course is available on the MSc in Financial Mathematics, MSc in Statistics (Financial Statistics) and MSc in Statistics (Financial Statistics) (Research). This course is available with permission as an outside option to students on other programmes where regulations permit.


Students must have completed Stochastic Processes (ST409).

Course content

Recent developments in the theory of stochastic processes and applications in finance and insurance and their interface. A variety of topics will be chosen, from robust evaluation; optimal hedging; evaluation via utility criteria; optimal risk sharing; minimal capital requirement according to the Basel Accords and the Solvency Directives; life insurance.


20 hours of lectures and 10 hours of seminars in the LT.

Weeks 9 and 10 will be devoted to students' presentations, using material which will have been provided in week 1 or 2; as well as to discuss in groups solutions to problems that will have been set in class.

Week 11 will be used for exam revision.

Formative coursework

A set of coursework similar to the exercises that will appear in the exam will be assigned as well as a mock exam.

Indicative reading

H. Foellmer and A. Schied: Stochastic finance. An introduction in discrete time. (3rd ed.), de Gruyter.

Selected papers from scientific journals.


Exam (90%, duration: 2 hours) in the main exam period.
Presentation (10%) in the Week 9.

Student performance results

(2013/14 - 2015/16 combined)

Classification % of students
Distinction 35
Merit 18.8
Pass 28.8
Fail 17.5

Key facts

Department: Statistics

Total students 2016/17: 30

Average class size 2016/17: 30

Controlled access 2016/17: No

Value: Half Unit

Guidelines for interpreting course guide information

Personal development skills

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