MAT2700 - H?st 2007

Undervisningsplan

DatoUndervises avStedTemaKommentarer / ressurser
22.08.2007Giulia diNunno? Auditorium 2 Vilhelm Bjerknes hus? Welcome to "Introduction to MathFin". Single period securities market models. ?
  • Welcome to the course: presentation and details of organization

  • Topic: Pliska [P] book Section 1.1
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28.08.2007GdN? Auditorium 4 Vilhelm Bjerknes hus ? Single period market models, trading strategies, the "law of one price", arbitrage opportunities. ? Topic: [P] Sections 1.1, 1.2 (particularly pp. 9-10)?
29.08.2007GdN? Auditorium 2 Vilhelm Bjerknes hus ? Arbitrage opportunities, "fair markets", risk-neutral probability measures, the "fundamental theorem of asset pricing"?
  • Topic: [P] Section 1.3

  • Suggested exercises: [P] Exercises 1.1, 1.2, 1.3, 1.8, 1.9 and in addition take a look here
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04.09.2007GdN? Auditorium 4 Vilhelm Bjerknes hus ? ? Exercise session?
05.09.2007GdN? Auditorium 2 Vilhelm Bjerknes hus ? Contingent claims and their "fair" price?
  • Topic: [P] Section 1.4

  • Suggested exercises: [P] Exercises 1.12, 1.13
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11.09.2007GdN? Auditorium 4 Vilhelm Bjerknes hus ? Complete and incomplete markets?
  • Topic [P] Section 1.5. Elements of Section 1.6

  • Suggested exercises: [P] Exercises 1.14, 1.15, 1.17, 1.18.

  • For revision and self-study, you find a list of questions here
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12.09.2007GdN? Auditorium 2 Vilhelm Bjerknes hus ? Optimal porfolios and viability?
  • Example closing the discussion on market modeling and pricing of contingent claims

  • Introduction to optimal portfolio and viability, [P] Section 2.1
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25.09.2007GdN? Auditorium 4 Vilhelm Bjerknes hus ? ? Exercise session?
26.09.2007GdN? Auditorium 2 Vilhelm Bjerknes hus ? Optimal portfolios and risk-neutral computational approach?
  • Topics [P] Sections 2.1, 2.2

  • Suggested exercises: [P] Exercises 2.1, 2.2, 2,3

  • Download the mandatory assignment (in English and in Norsk )

The deadline for delivery of your papers is October 12th. The paper should be hand in at the reception of the Department of Mathematics (7th floor N.H.Abels hus) within office hours.?

02.10.2007GdN? Auditorium 4 Vilhelm Bjerknes hus ? Optimal portfolios and optimal consumption-investment problems?
  • Examples and exercises from the solution of optimal portfolio problems (Exercise session)

  • Topic: [P] Section 2.3 (extra: few items of Section 2.7) with examples

  • Suggested exercises: [P] Exercise 2.4, Exercise 2.7

  • For revision and self-study, you find a list of questions here
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03.10.2007GdN? Auditorium 2 Vilhelm Bjerknes hus ? Multiperiod market models?
  • Topic: [P] Section 3.1

  • Suggested exercises: [P] Exercise 3.1, 3.2, 3.3, Subsection 3.2.1
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16.10.2007GdN? Auditorium 4 Vilhelm Bjerknes hus ? Conditional expecations, martingales and risk-neutral probability measures in a multiperiod market model?
  • Topic: [P] Section 3.3, elements of Section 3.4

  • Suggested exercises: [P] Exercise 3.4, 3.5, 3.7, 3.8, 3.9, 3.10, 3.11, 3.12
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17.10.2007GdN? Auditorium 2 Vilhelm Bjerknes hus ? Contingent claims and replicating strategies?
  • Short exercise/example session

  • Topic: [P] Section 4.1 elements
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23.10.2007GdN? Auditorium 4 Vilhelm Bjerknes hus ? Marketable contingent claim, price processes and trading strategies?
  • Topic: [P] Section 4.1
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24.10.2007GdN? Auditorium 2 Vilhelm Bjerknes hus ? Complete and incomplete markets. The Binomial model?
  • Topic: [P] Section 4.4, 3.5

  • Suggested exercises: [P] Exercise 4.1, 4.2, 4.3 (a,b), 4.13, Section 4.2, Exercises 4.5, 4.6.

  • For revision and self-study, you find a list of questions here and here

  • About the binomial model: here
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30.10.2007GdN? Auditorium 4 Vilhelm Bjerknes hus ? Portfolio optimization?
  • Topics: [P] Section 5.1 and examples

17:00 (after class): Meeting with student representatives for the evaluation of the course?

31.10.2007GdN? Auditorium 2 Vilhelm Bjerknes hus ? Portfolio Optimization?
  • Topics: [P] Section 5.2

  • Suggested exercises: [P] Exercises 5.1, 5.4, 5.5, 5.6, 5.7, 5.8

  • For revision and self-study, you find a list of questions here
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06.11.2007Yeliz Yolcu Okur? Auditorium 4 Vilhelm Bjerknes hus ? ? Exercise session: correction of suggested exercises (focus on Chapter 4)?
07.11.2007Andrea Barth? Auditorium 2 Vilhelm Bjerknes hus ? ? Exercise session: Exercises from past exam papers (December 2004 and December 2006)?
13.11.2007GdN? Auditorium 4 Vilhelm Bjerknes hus? ? Last few things to conclude: revision of the Binomial model with extra comments, utility optimization in Binomial model.?
14.11.2007GdN? Auditorium 2 Vilhelm Bjerknes hus? ? Exercises session.

Last class!?

December 11th. Open hours! You can find me in my office from 10:00 - 12:00 available for last minute questions.

December 13th. Exam. Please check the web-pages related.

Publisert 9. aug. 2007 16:14 - Sist endret 13. nov. 2007 18:45
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