Prof Mihail Zervos

This course is available on the MSc in Applicable Mathematics, MSc in Financial Mathematics, MSc in Quantitative Methods for Risk Management, MSc in Statistics (Financial Statistics), MSc in Statistics (Financial Statistics) (LSE and Fudan) 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.

Co-requisite:  Students must also complete Stochastic Processes (ST409).

This course studies various issues arising in the context of investment risk specification as well as with the mathematical theory of so-called alternative markets, such as commodity and energy markets. In particular, the course considers the structural credit risk models and the quantification of risk by means of copulas and risk measures. Also, the course expands on the modeling of alternative markets and addresses the problem of valuation of investments in real assets.

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

Two sets of written homework will be marked with feedback provided.

F.Benth, J.Benth, S.Koekebakker, Stochastic Modelling of Energy and Related Markets, World Scientific 2008.

H.Föllmer and A.Schied, Stochastic Finance, 3rd edition, De Gruyter, 2011.

A.McNeil, R.Frey and P.Embrechts, Quantitative Risk Management, Princeton University Press, 2005.

A.K.Dixit and R.S.Pindyck, Investment under Uncertainty, Princeton University Press, 1994.

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