Suspended in 2025/26
ST440 Half Unit
Recent Developments in Finance and Insurance
This information is for the 2025/26 session.
Availability
This course is available on the MSc in Financial Mathematics, 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
Recent developments in the theory of stochastic processes and applications in finance and insurance and their interface. A variety of topics will be chosen from: optimal hedging with special emphasis on new products and practical applications; regression methods for risk analysis and to forecast systemic risk (based on NASDAQ data, Yahoo Finance data and macro variables); regression models in life and non-life insurance. The workshops will focus on the use of programming language R for implementations based on real data. Some selected lectures will be given by practitioners in the finance and insurance fields.
Teaching
Week 8 will be devoted to students' presentations, using material which will have been provided in week 1 or 2; as well as to discuss in groups solutions to problems that will have been set in class.
Week 6 will be used as a reading week.
Formative assessment
A set of coursework similar to the exercises that will appear in the exam will be assigned as well as a mock exam.
Indicative reading
H. Foellmer and A. Schied: Stochastic finance. An introduction in discrete time. (3rd ed.), de Gruyter.
Selected papers from scientific journals.
Assessment
Exam (90%), duration: 120 Minutes in the January exam period
Presentation (10%) in Autumn Term Week 9
Key facts
Department: Statistics
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
- Team working
- Problem solving
- Application of information skills
- Communication
- Specialist skills