Prof Pauline Barrieu COL 6.03

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 modelling with Lévy processes; securitisation; energy and commodity markets; actuarial and financial aspects of climate change

20 hours of lectures and 10 hours of seminars in the LT. 2 hours of lectures and 1 hour of seminars in the ST.

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

Erik Baurdoux and Antonis Papapantoleon, Lévy Finance Lecture Notes
R. Cont and P. Tankov P. (2004): Financial Modelling With Jump Processes
A.E. Kyprianou (2006) Introductory Lectures on Fluctuations of Lévy Processes with Applications
Selected papers from scientific journals.
P. Barrieu and L. Albertini (eds.): The Handbook of Insurance-Linked Securities, Wiley.

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