Not available in 2023/24
ST439      Half Unit
Stochastics for Derivatives Modelling

This information is for the 2023/24 session.

Teacher responsible

Dr Luciano Campi COL 5.04

Availability

This course is compulsory on the MSc in Quantitative Methods for Risk Management. This course is available on the 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.

Pre-requisites

Students must have completed Stochastic Processes (ST409).

Course content

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.

Teaching

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

Week 6 will be used as a revision week.

Formative coursework

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.

Indicative reading

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.

Assessment

Exam (100%, duration: 2 hours) in the spring exam period.

Key facts

Department: Statistics

Total students 2022/23: Unavailable

Average class size 2022/23: Unavailable

Controlled access 2022/23: No

Value: Half Unit

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