ST409 Half Unit
Stochastic Processes
This information is for the 2020/21 session.
Teacher responsible
Prof Umut Cetin
Availability
This course is compulsory on the MSc in Financial Mathematics and MSc in Quantitative Methods for Risk Management. This course is available on the MSc in Applicable Mathematics, MSc in Econometrics and Mathematical Economics, MSc in Operations Research & Analytics, MSc in Risk and Finance, MSc in Statistics, MSc in Statistics (Financial Statistics), MSc in Statistics (Financial Statistics) (LSE and Fudan), 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.
Pre-requisites
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.
Teaching
This course will be delivered through a combination of classes and lectures totalling a minimum of 30 hours across Michaelmas Term. This year, some or all of this teaching may be delivered through a combination of virtual classes and flipped-lectures delivered as short online videos. This course includes a reading week in Week 6 of Michaelmas Term.
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
Exam (100%, duration: 2 hours) in the summer exam period.
Student performance results
(2016/17 - 2018/19 combined)
| Classification | % of students |
|---|---|
| Distinction | 39.8 |
| Merit | 18.6 |
| Pass | 30.1 |
| Fail | 11.4 |
Important information in response to COVID-19
Please note that during 2020/21 academic year some variation to teaching and learning activities may be required to respond to changes in public health advice and/or to account for the situation of students in attendance on campus and those studying online during the early part of the academic year. For assessment, this may involve changes to mode of delivery and/or the format or weighting of assessments. Changes will only be made if required and students will be notified about any changes to teaching or assessment plans at the earliest opportunity.
Key facts
Department: Statistics
Total students 2019/20: 66
Average class size 2019/20: 33
Controlled access 2019/20: Yes
Value: Half Unit
Personal development skills
- Team working
- Problem solving
- Application of information skills
- Application of numeracy skills
- Specialist skills
