MAT2700 - Autumn 2008

Teaching plan

DateTeacherPlaceTopicLecture notes / comments
19.08.2008Bernt ?ksendal? Auditorium 4, Vilhelm Bjerknes hus? Welcome to "Introduction to MathFin". Single period securities market models. ? Topics: (i) An introduction to option pricing (document will be distributed later) (ii) Pliska [P] book Section 1.1?
21.08.2008Bernt ?ksendal? Auditorium 2, 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)?
26.08.2008Bernt ?ksendal? Auditorium 4, Vilhelm Bjerknes hus ? Exercises: 1.1, 1.2, 1.3, 1.8 and 1.9 in [P]? Exercise session?
28.08.2008Bernt ?ksendal? Auditorium 2 Vilhelm Bjerknes hus ? Arbitrage opportunities, "fair markets", risk-neutral probability measures, the "fundamental theorem of asset pricing"? Section 1.3?
02.09.2008Giulia di Nunno? Auditorium 4 Vilhelm Bjerknes hus ? Pricing of contingent claims? Section 1.4.

Suggested exercises: [P] Exercises 1.12, 1.13?

04.09.2008? ? ? This lecture is cancelled

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09.09.2008Bernt ?ksendal? Auditorium 4 Vilhelm Bjerknes hus ? Complete and incomplete markets? Section 1.5. Elements of Section 1.6

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

11.09.2008Bernt ?ksendal? Auditorium 2 Vilhelm Bjerknes hus ? ? Exercise session?
16.09.2008Bernt ?ksendal? Auditorium 4? Optimal portfolios and investment, risk neutral computational approach? Sections 2.1, 2.2 in [P]?
18.09.2008Bernt ?ksendal? Auditorium 2? Exercise session? Exercises 1.18, 2.1, 2.2, 2.3 in [P]?
23.09.2008Bernt ?ksendal? Auitorium 4? Exercise session? Exercises 2.2 and 2.3 in [P]. If time, we continue at Section 2.3 in [P]: Consumption and investment.?
25.09.2008Bernt ?ksendal? Auditorium 2? Consumption investment problems, mean-variance portfolio analysis? Sections 2.3 and 2.4 in [P]. Suggested exercises: 2.4, 2.5, 2.6 and 2.7?
30.09.2008Bernt ?ksendal? Auditorium 4? Exercise session? Exercises 2.4, 2.5, 2.6 and 2.7 in Pliska?s book?
02.10.2008Bernt ?ksendal? Auditorium 2? Sections 2.5 and 2.6 in Pliska?s book? Portfolio management with short sales restrictions and similar constraints, optimal portfolio in incomplete markets?
07.10.2008Bernt ?ksendal? Auditorium 4? Exercise session? Exercises 2.8, 2.9 and 2.10 from Section 2.4. If time we will in addition continue on Sections 2.5, 2.6. ?
09.10.2008Bernt ?ksendal? Auditorium 2? Sections 2.6, 2.7? Optimal portfolio in incomplete markets, equilibrium models. Suggested exercises: 2.11, 2.12?
14.10.2008Bernt ?ksendal? Auditorium 4? Exercise 2.11, Section 2.6, Section 2.7? Optimal portfolios in incomplete markets?
16.10.2008Bernt ?ksendal? Auditorium 2? Exercise 2.12, Section 2.7? Equilibrium models?
21.10.2008Giulia Di Nunno? Auditorium 4 ? Section 2.7 and/or Section 3.1? The mandatory assignment (Oblig. 1) is now available on http://www.uio.no/studier/emner/matnat/math/MAT2700/h08/

The deadline for delivery of your solution to the assignment is Friday 31 October 2008. The paper should be hand in at the reception of the Department of Mathematics (7th floor N.H.Abels hus) within office hours.?

23.10.2008? ? This lecture is cancelled? Use the extra time to work on the mandatory assignment?
28.10.2008Bernt ?ksendal? Auditorium 4? Section 31, Section 3.2? Multi-period markets, model specifications and filtrations. Return and dividend processes?
30.10.2008? ? This lecture is cancelled? Use the extra time to work on the mandatory assignment?
04.11.2008Bernt ?ksendal? Auditorium 4 Vilhelm Bjerknes hus ? Section 3.3, Exercises 3.1, 3.2 and 3.3? Conditional expectation and martingales ?
06.11.2008Bernt ?ksendal? Auditorium 2 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 3.7, 3.9, 3.11, 3.12.
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11.11.2008Bernt ?ksendal? Auditorium 4 Vilhelm Bjerknes hus ? Contingent claims and replicating strategies?
  • Topic: [P] Sections 4.1, 4.4
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13.11.2008Bernt ?ksendal? Auditorium 2 Vilhelm Bjerknes hus ? Optimal portfolio, dynamic programming and martingale methods?
  • Topic: [P] Sections 5.1, 5.2.

Suggested exercises: 4,1a), 4.13, 5.1, 5.5?

18.11.2008Bernt ?ksendal? Auditorium 4 Vilhelm Bjerknes hus ? Review and exercise session? ?
20.11.2008Bernt ?ksendal? Auditorium 2 Vilhelm Bjerknes hus ? Review session? We will briefly review the course by working through the Exam set from 2007. This is the last day of lectures in the course this semester.?

Monday-Wednesday 8.- 10.12.2008: Open hours! You can find me in my office B1021 from 10:00 - 12:00 and 13:00 - 15:00 every day available for last minute questions.

Thursday 11.12.2008. Exam. Please check the web-pages related.

Published Aug. 19, 2008 4:39 PM - Last modified Nov. 12, 2008 9:28 AM
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