Stochastic Analysis

Postgraduate

In London

Price on request

Description

  • Typology

    Postgraduate

  • Location

    London

  • Start

    Different dates available

Description

This course provides a high-level training in research in Stochastic Analysis and Mathematical Finance, equipping you with skills to begin tackling contemporary research problems in these areas. 
This 12-month course provides training in mathematical research. It aims to give students important preparation for higher-level research, including PhD studies.

Facilities

Location

Starts

London
See map
South Kensington Campus, SW7 2AZ

Starts

Different dates availableNow taking bookings

To take into account

This 12-month course provides training in mathematical research. It aims to give students important preparation for higher-level research, including PhD studies.

It is focused on two areas of mathematics which are of very high importance, both academically and to society:

  • Stochastic Analysis
  • Mathematical Finance

These are areas in which Imperial has established strengths. The programme you follow has been carefully tailored to equip you with skills to begin tackling contemporary research problems in these areas.

All applicants must apply online.

You can usually apply for up to two courses, although your second choice will only be considered if your first-choice application is unsuccessful.

Most courses don't have a formal closing date, but popular courses close when they are full, so you should apply early to avoid disappointment. There may also be funding deadlines that apply to you.

You will need to upload documents with your applications, which may include...

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Subjects

  • IT
  • Project
  • Finance
  • Skills and Training

Course programme

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%.

Taught component

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

Autumn Term
  • Stochastic Integrals: an introduction to Itô calculus
  • Stochastic Processes
Spring Term
  • 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
Research project

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

Stochastic Analysis

Price on request