Suspended in 2025/26
ST439 Half Unit
Stochastics for Derivatives Modelling
This information is for the 2025/26 session.
Availability
This course is available on the MSc in Quantitative Methods for Risk Management, 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.
Requisites
Pre-requisites:
Students must have completed ST409 before taking this course.
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
10 hours of seminars and 20 hours of lectures in the Winter Term.
This course has a reading week in Week 6 of Winter Term.
Formative assessment
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: 120 Minutes in the Spring exam period
Key facts
Department: Statistics
Course Study Period: Winter 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: NoCourse 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
- Problem solving
- Application of information skills
- Specialist skills