MAT2700 - H?st 2004

Undervisningsplan

DatoUndervises avStedTemaKommentarer / ressurser
19.08.2004Giulia diNunno? Auditorium 2 Vilhelm Bjerknes hus ? Introductory lesson: Single period securities markets? Welcome to the course!

  • Topic: [P] Section 1.1

  • Exercises: [P] 1.3 (b),(c)
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24.08.2004GdN? Auditorium 2 Vilhelm Bjerknes hus ? Arbitrage and other economic considerations: dominant strategies and linear pricing measures?
  • Topic: [P] Section 1.2, Appendix on linear programming.

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26.08.2004GdN? Auditorium 2 Vilhelm Bjerknes hus ? Arbitrage and other economic considerations: the law of one price, arbitrage.?
  • Topic: [P] Section 1.2

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31.08.2004GdN? ? ? No lesson?
02.09.2004GdN? ? ? No lesson?
07.09.2004GdN? Auditorium 2 Vilhelm Bjerknes hus ? Risk neutral probability measures. ?
  • Topic: [P] Section 1.3

  • Exercise session: correction and comments to selected exercises.
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09.09.2004GdN? Auditorium 2 Vilhelm Bjerknes hus ? Risk neutral probability measures. No arbitrage pricing principle. Complete markets.?
  • Topic: [P] Section 1.3, 1.4, 1.5

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14.09.2004GdN? Auditorium 2 Vilhelm Bjerknes hus ? ?
  • Exercise session: correction and comments to selected exercises.
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16.09.2004GdN? ? ? No lesson?
21.09.2004GdN? Auditorium 2 Vilhelm Bjerknes hus? Optimal portfolios and viability.?
  • Topic: [P] Section 2.1, 2.2
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23.09.2004GdN? Auditorium 2 Vilhelm Bjerknes hus? Consumption-Investments problems. Introduction to multiperiod market models.?
  • Topic: [P] Section 2.3. Section 3.1.1

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28.09.2004GdN? Auditorium 2 Vilhelm Bjerknes hus ? Multiperiod market model: specifications.?
  • Topic: [P] Section 3.1.2, 3.1.3, 3.1.4, 3.1.5

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30.09.2004GdN? Auditorium 2 Vilhelm Bjerknes hus ? Multiperiod market model.?
  • Topic: [P] Section 3.1.6, 3.2, 3.2.1, 3.3.2, 3.3.3

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05.10.2004GdN? Auditorium 2 Vilhelm Bjerknes hus ? ?
  • Exercise session: correction and comments to selected exercises
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07.10.2004GdN? Auditorium 2 Vilhelm Bjerknes hus ? ?
  • Exercise session: correction and comments to selected exercises

  • Oracle: last chance for the last questions!
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11.10.2004? ? ? MID-TERM EXAM

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19.10.2004GdN? Auditorium 2 Vilhelm Bjerknes hus ? Conditional Expectations and Martingales.? Correction in class of the Exercises 1 and 5 from the Midterm exam paper.

About the topic of the day: [P] Section 3.3

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21.10.2004GdN? Auditorium 2 Vilhelm Bjerknes hus ? Arbitrage and risk neutral (martingale) probability measures? Correction in class of Exercise 2 from the Midterm exam paper.

About the topic of the day: [P] Section 3.4

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26.10.2004GdN? Auditorium 2 Vilhelm Bjerknes hus ? The binomial model and Markov models? Correction in class of Exercise 3 from the Midterm exam paper.

About the topic of the day: [P] Sections 3.5 and 3.6. You can also read these notes

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28.10.2004GdN? ? ? No lesson?
02.11.2004GdN? Auditorium 2 Vilhelm Bjerknes hus ? Contingent claims and European options? Correction in class of Exercise 4 from the Midterm exam paper.

About the topic of the day: [P] Section 4.1?

04.11.2004GdN? Auditorium 2 Vilhelm Bjerknes hus ? ? Exercise session:

  • complete example of how to find a replicating strategy for a marketable contingent claim

Suggested exercises:

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09.11.2004GdN? Auditorium 2 Vilhelm Bjerknes hus ? European options under the binomial model. Complete and Incomplete markets. ? About the topic of the day: [P] Section 4.2, and parts of Section 4.4.

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11.11.2004GdN? Auditorium 2 Vilhelm Bjerknes hus ? American options (some elements). Optimal portfolio problems in a multi period market model.? Solution of optimal portfolio problems via the standard calculus method and via dynamic programming.

About the topic of the day: [P] parts of Section 4.3 and Section 5.1.

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16.11.2004GdN? Auditorium 2 Vilhelm Bjerknes hus ? ? Exercise session: correction and comments to selected exercises.

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18.11.2004GdN? Auditorium 2 Vilhelm Bjerknes hus ? Optimal portfolio problems in a multi period market model. ? Solution of optimal portfolio problems via the martingale method.

About the topic of the day: [P] parts of Section 4.3 and Section 5.2.

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23.11.2004GdN? Auditorium 2 Vilhelm Bjerknes hus ? Closing lecture ? Exercise session: correction and comments to selected exercises.

...more to come... ?

25.11.2004Inga B. Eide? Auditorium 2 Vilhelm Bjerknes hus ? ? Exercise session: correction and comments to selected exercises.?
07.12.2004GdN? Auditorium 2 Vilhelm Bjerknes hus ? ? Oracle: last chance for the last questions!?
10.12.2004? ? ? FINAL EXAM

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Publisert 18. juni 2004 12:45 - Sist endret 16. nov. 2004 16:19
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