ST439 Half Unit
Stochastics for Derivatives Modelling
This information is for the 2014/15 session.
Teacher responsible
Dr Beatrice Acciaio COL 6.02
Availability
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.
Pre-requisites
Students must have completed Stochastic Processes (ST409).
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.
Teaching
20 hours of lectures and 10 hours of seminars in the LT.
Formative coursework
A weekly set of 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: 2 hours) in the main exam period.
Key facts
Department: Statistics
Total students 2013/14: 31
Average class size 2013/14: 31
Controlled access 2013/14: No
Lecture capture used 2013/14: No
Value: Half Unit
