Dr Beatrice Acciaio COL 6.02

This course is compulsory on the MSc in Risk and Stochastics. This course is available on the MSc in Financial Mathematics, 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.

Students must have completed Stochastic Processes (ST409).

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 robust evaluation; optimal hedging; evaluation via utility criteria; optimal risk sharing; minimal capital requirement according to the Basel Accords and the Solvency Directives.

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

During week 6, students will be required to give group presentations using material which will have been provided in week 1 or 2. They will also discuss in groups solutions to problems that will have been set in class.

A set of coursework similar to the exercises that will appear in the exam will be assigned as well as a mock exam.

H. Foellmer and A. Schied: Stochastic finance. An introduction in discrete time. (3rd ed.), de Gruyter.

Selected papers from scientific journals.

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