Not available in 2020/21
ST439 Half Unit
Stochastics for Derivatives Modelling
This information is for the 2020/21 session.
Dr Luciano Campi COL 5.04
This course is compulsory on the MSc in Quantitative Methods for Risk Management. This course is available on the MSc in Statistics (Financial Statistics), MSc in Statistics (Financial Statistics) (LSE and Fudan) 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).
Valuation and hedging of derivative securities: general principles of mathematical finance; asset price models; static vs dynamic option pricing; connection with PDEs; exotic options; volatility derivatives; mean-variance hedging; Dupire's formula.
20 hours of lectures and 10 hours of seminars in the LT.
Week 6 will be used as a revision week.
Weekly homework will be set. Students are not expected to submit this homework but will go over the exercises in the following seminar with the lecturer.
Steven Shreve, Stochastic Calculus for Finance II: Continuous-Time Models, Springer.
Selected papers from scientific journals.
Thorsten Rheinlander and Jenny Sexton, Hedging Derivatives, World Scientific.
Exam (100%, duration: 2 hours) in the summer exam period.
Student performance results
(2016/17 - 2018/19 combined)
|Classification||% of students|
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.
Total students 2019/20: 26
Average class size 2019/20: 26
Controlled access 2019/20: No
Value: Half Unit
Personal development skills
- Problem solving
- Application of information skills
- Specialist skills