Stochastic Analysis

Modules shown are for the current academic year, and are subject to change depending on your year of entry.

The MRes is divided into a taught component, which accounts for 25% of the course, and a research project which accounts for the remaining 75%.

Students attend lecture modules throughout the year, and must register for assessment in three compulsory core taught modules from the following:

• Stochastic Integrals: an introduction to Itô calculus
• Stochastic Processes

• Advanced Topics in Stochastic Analysis: regularity structures
• Advanced Methods in Derivative Pricing
• Lévy Processes: Theory and Applications
• Simulation Methods for Finance
• Dynamic Portfolio Theory
• Stochastic Differential Equations
• Introduction to General Markov Processes
• Convex Analysis and Optimisation

You will also take two optional modules. These may be additional modules from the above list, and modules offered by the London Graduate School in Mathematics and Finance, or the following modules:

• Functional Analysis
• Introduction to Partial Differential Equations

You will spend much of the year working on a research project in your chosen area. This project will account for more than half of your work in the year. Although this project must be separate from a subsequent PhD, your PhD would normally lead on naturally from this work.

To support you in your project work, you will also receive training in research skills. This includes:

• a lecture on ‘Reading Scientific Literature’
• subject-based reading groups
• seminar programmes
• exercises in scientific writing and scientific presentation
• short courses offered by the Graduate School