MA420 Half Unit
Quantifying Risk and Modelling Alternative Markets
This information is for the 2020/21 session.
Teacher responsible
Dr Christoph Czichowsky and Dr Pavel Gapeev
Availability
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) (ÐÓ°ÉÂÛ̳ 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.
Pre-requisites
Pre-requisite: Students must have completed Stochastic Processes (ST409).
Course content
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.
Teaching
This course is delivered through a combination of classes and lectures totalling a minimum of 30 hours across Lent Term. This year, some or all of this teaching will be delivered through a combination of virtual classes and lectures delivered as online videos.
Formative coursework
Two sets of written homework will be marked with feedback provided.
Indicative reading
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.
Assessment
Exam (100%, duration: 2 hours) in the summer exam period.
Important information in response to COVID-19
Please note that during 2020/21 academic year some variation to teaching and learning activities may be required to respond to changes in public health advice and/or to account for the situation of students in attendance on campus and those studying online during the early part of the academic year. For assessment, this may involve changes to mode of delivery and/or the format or weighting of assessments. Changes will only be made if required and students will be notified about any changes to teaching or assessment plans at the earliest opportunity.
Key facts
Department: Mathematics
Total students 2019/20: 23
Average class size 2019/20: 23
Controlled access 2019/20: No
Value: Half Unit
Personal development skills
- Self-management
- Problem solving
- Application of information skills
- Communication
- Application of numeracy skills
- Specialist skills
