Not available in 2020/21
ST440 Half Unit
Recent Developments in Finance and Insurance
This information is for the 2020/21 session.
Dr George Tzougas COL 5.11
This course is available on the MSc in Financial Mathematics, MSc in Quantitative Methods for Risk Management, 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).
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: optimal hedging with special emphasis on new products and practical applications; regression methods for risk analysis and to forecast systemic risk (based on NASDAQ data, Yahoo Finance data and macro variables); regression models in life and non-life insurance. The workshops will focus on the use of programming language R for implementations based on real data. Some selected lectures will be given by practitioners in the finance and insurance fields.
Week 8 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 6 will be used as a reading week.
A set of coursework similar to the exercises that will appear in the exam will be assigned as well as a mock exam.
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 January exam period.
Presentation (10%) in the MT Week 9.
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: 6
Average class size 2019/20: 6
Controlled access 2019/20: No
Value: Half Unit
Personal development skills
- Team working
- Problem solving
- Application of information skills
- Specialist skills