[Tuesday Nov 17 and Thursday ¡­

[Tuesday Nov 17 and Thursday Nov 19] In the lecture on Tuesday I completed the discussion of the material from Chapter 4 (pricing of contingent claims and complete / incomplete multi-period markets, extending our previous single-period results to the multi-period setting).

Today I discussed two methods for solving optimal portfolios in multi-period markets: 1) The direct approach (first order condition at a maximum). 2) The martingale (risk-netutral probability) approach. These methods were illustrated on a few examples.

This was the final lecture of the semester. Next week I will briefly discuss Exercises 3.7, 3.8, 3.9, 3.10, 3.11, 3.12, 4.1, 4.2., 4.3, 4.4, 4.13, 5.5, 5.6.

Final written exam: 10. December at 14:30 (3 hours), Auditorium 1 Sophus Bugges hus. The examination set will be in English, but those who prefer may answer the questions in Norwegian.

PS You can find the FASIT for the obligatory assignment [here]