MA420 Half Unit
Quantifying Risk and Modelling Alternative Markets
This information is for the 2021/22 session.
Teacher responsible
Dr Christoph Czichowsky and Dr Pavel Gapeev
Availability
This course is available on the MSc in Applicable Mathematics, 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.
Pre-requisites
Pre-requisite: Students must have completed Stochastic Processes (ST409).
Course content
This course studies various issues arising in the context of investment risk specification as well as with the mathematical theory of so-called alternative markets, such as commodity and energy markets. In particular, the course considers the structural credit risk models and the quantification of risk by means of copulas and risk measures. Also, the course expands on the modeling of alternative markets and addresses the problem of valuation of investments in real assets.
Teaching
This course is delivered through a combination of classes and lectures totalling a minimum of 30 hours across Lent Term. This year, some or all of this teaching will be delivered through a combination of virtual classes and lectures delivered as online videos.
Formative coursework
Two sets of written homework will be marked with feedback provided.
Indicative reading
F.Benth, J.Benth, S.Koekebakker, Stochastic Modelling of Energy and Related Markets, World Scientific 2008.
H.Föllmer and A.Schied, Stochastic Finance, 3rd edition, De Gruyter, 2011.
A.McNeil, R.Frey and P.Embrechts, Quantitative Risk Management, Princeton University Press, 2005.
A.K.Dixit and R.S.Pindyck, Investment under Uncertainty, Princeton University Press, 1994.
Assessment
Exam (100%, duration: 2 hours) in the summer exam period.
Course selection videos
Some departments have produced short videos to introduce their courses. Please refer to the course selection videos index page for further information.
Important information in response to COVID-19
Please note that during 2021/22 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 differing needs of students in attendance on campus and those who might be studying online. For example, this may involve changes to the mode of teaching 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: Mathematics
Total students 2020/21: 30
Average class size 2020/21: 16
Controlled access 2020/21: No
Value: Half Unit
Personal development skills
- Self-management
- Problem solving
- Application of information skills
- Communication
- Application of numeracy skills
- Specialist skills
