MAT9760 – Advanced Mathematical Methods in Finance
Course description
Schedule, syllabus and examination date
Course content
This course deals with topics within advanced stochastic analysis, which are of particular interest. The exact content of the course may vary from year to year, depending of the demand among the students. Examples of topics that may be covered are:
- (i) Backward stochastic differential equations;
- (ii) Stochastic partial differential equations;
- (iii) Stochastic analysis and optimal control for It?-Lévy-processes.
Possible applications to finance include risk measures, hedging and optimal portfolio and consumption problems.
Learning outcome
After completing the course you will:
- know about advanced theories and methods within stochastic calculus for Lévy processes and other processes like Gaussian processes;
- know how these methods can be used within mathematical finance.
In addition to the final exam, each PhD student is expected to give an oral presentation on a topic of relevance (chosen in cooperation with the lecturer). The presentation has to be approved by the lecturer for the student to be admitted to the final exam.
Admission
PhD candidates from the University of Oslo should apply for classes and register for examinations through Studentweb.
If a course has limited intake capacity, priority will be given to PhD candidates who follow an individual education plan where this particular course is included. Some national researchers’ schools may have specific rules for ranking applicants for courses with limited intake capacity.
PhD candidates who have been admitted to another higher education institution must apply for a position as a visiting student within a given deadline.
Prerequisites
Recommended previous knowledge
Overlapping courses
10 credits overlap with MAT4760 – Advanced Mathematical Methods in Finance
*The information about overlaps for discontinued courses may not be complete. If you have questions, please contact the Department.
Teaching
4 lectures per week or similar in the spring semester, depending on the lecturer. If the course is given by someone from outside the department, it is possible that the course is held intensively over one or several short periods.
Upon the attendance of three or fewer students, the lecturer may, in conjunction with the Head of Teaching, change the course to self-study with supervision.
Examination
Final oral or written examination. The form of examination will be announced by the teaching staff by 15 October/15 March for the autumn semester and the spring semester respectively.
In addition, each PhD candidate is expected to give an oral presentation on a topic of relevance chosen in cooperation with the lecturer. The presentation has to be approved by the lecturer for the student to be admitted to the final exam.
Examination support material
No examination support material is allowed.
Language of examination
Subjects taught in English will only offer the exam paper in English.
You may write your examination paper in Norwegian, Swedish, Danish or English.
Grading scale
Grades are awarded on a pass/fail scale. Read more about the grading system.
Explanations and appeals
Resit an examination
Students who can document a valid reason for absence from the regular examination are offered a postponed examination at the beginning of the next semester.
Re-scheduled examinations are not offered to students who withdraw during, or did not pass the original examination.
Withdrawal from an examination
It is possible to take the exam up to 3 times. If you withdraw from the exam after the deadline or during the exam, this will be counted as an examination attempt.
Special examination arrangements
Application form, deadline and requirements for special examination arrangements.
Evaluation
The course is subject to continuous evaluation. At regular intervals we also ask students to participate in a more comprehensive evaluation.