Suspended in 2025/26
ST426      Half Unit
Applied Stochastic Processes

This information is for the 2025/26 session.

Course Convenor

Dr Erik Baurdoux

Availability

This course is available on the MSc in Financial Mathematics, MSc in Quantitative Methods for Risk Management, MSc in Statistics, MSc in Statistics (Financial Statistics), MSc in Statistics (Financial Statistics) (Research) and MSc in Statistics (Research). This course is freely available as an outside option to students on other programmes where regulations permit. It does not require permission.

Course content

This course builds on material discussed in ST409 (Stochastic Processes). In particular, elements of the general theory of semi-martingales will be covered and emphasis will be given on presenting a variety of models involving processes with general dynamics, including jumps. The theory will be applied to a range of topics in mathematical finance and insurance, as well as financial economics.

Teaching

2 hours of lectures in the Spring Term.
10 hours of seminars and 20 hours of lectures in the Winter Term.

This course has a reading week in Week 6 of Autumn Term.

Formative assessment

A set of coursework similar to the exercises that will appear in the exam will be assigned. Additional formative exercise will be available through Moodle.

 

Indicative reading

Brownian Motion and Stochastic Calculus. Ioannis Karatzas and Steve Shreve

Numerical Solution of Stochastic Differential Equations with Jumps in Finance. Eckhard Platten, Nicola Bruti-Liberati.

Essentials of Stochastic Finance: Facts, Models, Theory. Albert Shiryaev.

Stochastic Integration and Differential Equations. Phillip Protter.

Levy Processes in Finance: Pricing Financial Derivatives. Wim Schoutens

Fluctuations of Lévy Processes with Applications. Andreas Kyprianou

Selected papers from scientific journals.

Assessment

Exam (100%), duration: 120 Minutes in the Spring exam period


Key facts

Department: Statistics

Course Study Period: Winter and Spring Term

Unit value: Half unit

FHEQ Level: Level 7

CEFR Level: Null

Total students 2024/25: Unavailable

Average class size 2024/25: Unavailable

Controlled access 2024/25: No
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