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For the exam, everyone is expected to know the Black & Scholes formula by heart!
Exam 2023. This is the regular exam
Continuation exam 2023. This is the continuation exam
Trial exam 2023. This was given as a preparation for the students last year, practicing for the exam.
Unfortunately, I have to cancel the lecture on Friday October 18th. You will be provided with more exercises to work on.
This is in Norwegian....
Sjekk ut denne muligheten for deltidsjobb i Kommunalbanken for studenter.
The lecture today will give you invaluable insight into trading in modern financial markets. The lecture is part of the curriculum of the course, as well as serving as motivation for your further studies and career. Enjoy this unique opportunity to learn!
NBIM has the pleasure to invite you to an on-site visit on October 16, from 10.00 to 12.00. The program includes presentations from former UiO-alumnis working at NBIM.
There is a limited number of places, and registration is mandatory (and binding!). Please register here (please state your full name!). You will be notified by email whether you can participate or not (first come, first served principle).
NBIM is located at Bankplassen 2 in Oslo. When entering, you need to identify yourself with a valid ID (passport, ID card). We meet up and register at 09.45 (precisely) outside the entrance door.
Here is the mandatory assignment. Note that you need to hand it in in canvas (see information in the mandatory assignment).
You must pass the mandatory assignment to be eligible for the final exam.
Unfortunately, it seems like Yahoo Finance is not very service-minded anymore when it comes to downloading data on their web-page. The data can be seen on the screen, but there is no easy way (if any way) to click on a "download"-button to get a csv-file. However, a python-solution is available, thanks to information from one of your student fellows Jonas Rike Myhre!
import yfinance as yf
import datetime as dt
start = dt.datetime(2022,9,4)
end = dt.datetime.now()
df=yf.download("AAPL",start,end)
df.to_csv("APPLE.csv")
In doing the exercises linked to the mandatory assignment, you are allowed to use other sources to get data, even older data sets are fine. But I recommend trying out the python code to get data.
The student representative in STK-MAT3700 is Georg Ziegler Helle. Please contact him if you have anything you want to take up concerning the lectures and the course. You are also welcome to contact the lecturer directly, of course.
Georg can be reached by email georgzh with math.uio.no following after @.
Everyone I recommended to watch the video found on this page. The video brings some inspiration to why you should know about the mathematics of finance. It is in Norwegian, unfortunately.
Everyone needs to know the Black & Scholes formula by heart. It is taken for granted that you know this formula in the final exam.
After seeing the Black & Scholes formula today, you should ask yourself:
1) Why is the expected return of the underlying stock not part of the price of a call?
2) Where is this formula coming from?
Here you find the BIS-document that we discussed in the lecture today (Value-at-Risk)
In the lectures, we have mentioned to possibility of shorting stocks several times. Shorting means a negative position. Read the book "The Big Short" by Michael Lewis which is about the financial crisis in 2008. There is also a movie with the same name based on the book, which can be streamed on Disney+, TV2 Play. Google Play or Viaplay (for money or by subscription).
In the movie "Dumb Money" from 2023 you can watch a more recent case on short position, in connection with there company GameStop. This movie can be streamed on Viaplay, YouTube, Google Play or TV2 Play (for money or by subscription).
The documentary about Madoff on Netflix is also very interesting.
Here you find a link to the video of the Student Actuary Society
https://photos.app.goo.gl/XHcEjRWprRhepKYb6
The meeting for new students take place on Thursday August 29, in Vilhelm Bjerknes Auditorium 2 at 16:15.
Please read up on the situation of the world's financial markets this week. In the first lecture (see "schedule") we discuss risk in investments, and what happens these days are highly relevant!
Welcome to the course STK-MAT3700/4700. We will discuss investments in financial markets, based on the principles of no-arbitrage and mathematical models of uncertainty and risk.
Lectures will be in English (unless all of you are Scandinavian-speaking).
The information on lectures is found under "Schedule"