Prof Umut Cetin

This course is compulsory on the MSc in Financial Mathematics and MSc in Quantitative Methods for Risk Management. This course is available on the MSc in Applicable Mathematics, MSc in Econometrics and Mathematical Economics, MSc in Operations Research & Analytics, MSc in Risk and Finance, MSc in Statistics, MSc in Statistics (Financial Statistics), MSc in Statistics (Financial Statistics) (LSE and Fudan), MSc in Statistics (Financial Statistics) (Research) and MSc in Statistics (Research). This course is available with permission as an outside option to students on other programmes where regulations permit.

This course has a limited number of places (it is controlled access) and demand is typically very high. Students for whom the course is not compulsory and who meet the necessary pre-requisites may be allocated a place, space permitting. Students must provide a statement explaining how they meet the pre-requisites when asking for a place.

Students must have completed Further Mathematical Methods (MA212).

Good undergraduate knowledge of distribution theory

A broad introduction to stochastic processes for postgraduates with an emphasis on financial and actuarial applications. The course examines Martingales, Poisson Processes, Brownian motion, stochastic differential equations and diffusion processes. Applications in Finance. Actuarial applications.

This course will be delivered through a combination of classes, lectures and Q&A sessions totalling a minimum of 30 hours across Michaelmas Term.  This course includes a reading week in Week 6 of Michaelmas Term.

T Bjork, Arbitrage Theory in Continuous Time; T Mikosch, Elementary Stochastic Calculus; S I Resnick, Adventures in Stochastic Processes; B K Oksendal, Stochastic Differential Equations: An Introduction with Applications, D Williams, Probability with Martingales.

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