ST409 Half Unit
Stochastic Processes
This information is for the 2025/26 session.
Course Convenor
Dr Andreas Sojmark
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 Econometrics and Mathematical Economics, MSc in Mathematics and Computation, MSc in Statistics, MSc in Statistics (Financial Statistics), 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. This course uses controlled access as part of the course selection process.
How to apply: Compulsory for MSc Quantitative Methods for Risk Management and MSc Financial Mathematics students.
Students from any other programmes should submit a short statement indicating a) why they think the course is suitable for them given their background knowledge and b) their motivation for their choice.
Deadline for application: Due to the nature of the method of application, interested students should apply as soon as possible after the opening selection and no later than 10.00am on Friday 26 September.
Course lecturers will aim to make initial offers to students on LSE For You by Friday 26 September.
For queries contact: Stats-Msc@lse.ac.uk
This course has a limited number of places (it is controlled access) and demand is typically very high. Students for whom the course is not compulsory and who meet the necessary pre-requisites may be allocated a place, space permitting. Students must provide a statement explaining how they meet the pre-requisites when asking for a place.
Requisites
Additional requisites:
Students on MSc QMRM and MSc Financial Mathematics must have completed the pre-sessional course MA400.
All students should have a good undergraduate knowledge of probability theory, calculus, and integration theory, as e.g. covered in ST206 and MA212. Previous exposure to measure theory is helpful, but not essential.
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 calculus, and stochastic differential equations as well as applications in finance and insurance.
Teaching
20 hours of lectures and 9 hours of seminars in the Autumn Term.
This course has a reading week in Week 6 of Autumn 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: 120 Minutes in the January exam period
Key facts
Department: Statistics
Course Study Period: Autumn Term
Unit value: Half unit
FHEQ Level: Level 7
CEFR Level: Null
Total students 2024/25: 91
Average class size 2024/25: 46
Controlled access 2024/25: YesCourse selection videos
Some departments have produced short videos to introduce their courses. Please refer to the course selection videos index page for further information.
Personal development skills
- Team working
- Problem solving
- Application of information skills
- Application of numeracy skills
- Specialist skills