ST440 Half Unit
Recent Developments in Finance and Insurance
This information is for the 2014/15 session.
Teacher responsible
Prof Pauline Barrieu COL 6.03
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
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; insurance-linked securitisation; energy and commodity markets; actuarial and financial aspects of climate change.
Teaching
10 hours of lectures in the MT. 10 hours of lectures and 10 hours of seminars in the LT. 2 hours of lectures and 1 hour of seminars in the ST.
Formative coursework
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.
P. Barrieu and L. Albertini (eds.): The Handbook of Insurance-Linked Securities, Wiley.
Selected papers from scientific journals.
Assessment
Exam (100%, duration: 2 hours) in the main exam period.
Key facts
Department: Statistics
Total students 2013/14: 24
Average class size 2013/14: Unavailable
Controlled access 2013/14: No
Lecture capture used 2013/14: No
Value: Half Unit
Personal development skills
- Problem solving
- Application of information skills
- Specialist skills