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Dr Beatrice Acciaio COL 6.02

This course is compulsory on the MSc in Quantitative Methods for Risk Management. 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 robust evaluation; optimal hedging; evaluation via utility criteria; optimal risk sharing; minimal capital requirement according to the Basel Accords and the Solvency Directives; life insurance.

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

Weeks 9 and 10 will be devoted to students' presentations, using material which will have been provided in week 1 or 2; as well as to discuss in groups solutions to problems that will have been set in class.

Week 6 will be used as a reading week.

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

H. Foellmer and A. Schied: Stochastic finance. An introduction in discrete time. (3rd ed.), de Gruyter.

Selected papers from scientific journals.

Exam (90%, duration: 2 hours) in the summer exam period.
Presentation (10%) in the MT Week 9.