MAT4711 - V?r 2007

Undervisningsplan

Dato	Undervises av	Sted	Tema	Kommentarer / ressurser
27.03.2007	Giulia diNunno?	Sem. rom B62 Niels Henrik Abels hus?	Introduction. Change of measure and Girsanov theorem?	This course is the follow up of "Stochastic Analysis I", MAT4700. Please visit the corresponding page to know what was the program there. It is easier to follow the present course having knowledge of the topics discussed in MAT4700. Levy Characterization of the Brownian motion. Absolutely continuous and equivalent probability measures. Introduction to the Girsanov theorem.?
29.03.2007	?	?	Girsanov theorem.?	Continuation on the Girsanov theorem. Applications to the weak solutions of an SDE. Details on the program are here Suggested exercises: [?] 4.12, 4.13, 8.11, 8.12 and here?
12.03.2007	?	?	no classes?	?
17.04.2007	?	?	Conclusion of pending topics and revision?	Exercise session?
19.04.2007	?	?	Elements: filtering theory?	Introduction to the filtering problem and characterization of the filter. Linear filtering.?
24.04.2007	?	?	Elements: filtering theory?	Continuation on linear filtering: the Kalman-Bucy filter. Examples. Details on the program are here Suggested exercises: [?] 6.1, 6.2, 6.5, 6.7?
26.04.2007	?	?	Elements: optimal stopping problems?	Optimal stopping problems: existence, uniqueness, verification theorem. Details on the program are here Suggested exercises: [?] 10.1, 10.2, 10.13, 10.14?
03.05.2007	?	?	no classes?	?
08.05.2007	?	?	Conclusion of pending topics and revision?	Exercise session?
10.05.2007	?	?	Elements: stochastic control?	Conclusion of the exercise session. Introduction to the stochastic control problem. Markov controls. ?
15.05.2007	?	?	Elements: stochastic control ?	Verification theorems. Examples. Details of the program are here Suggested exercises: [?] 11.1, 11.7, 11.8, 11.12?
22.05.2007	?	?	no classes?	Abel Prize ceremony, University Aula. More information at the webpage: www.abelprisen.no?
24.05.2007	?	?	Conclusion of pending examples. Elements: introduction to mathematical finance?	Conclusion of the pending examples in stochastic control. Introduction to modelling in mathematical finance. Continuous time. ?
29.05.2007	?	?	Elements: mathematical finance?	Continuation: non-arbitrage principle, risk-neutral probability measures and the fundamental theorem of asset pricing. Hedging European contingent claims. Details on the program are here Suggested exercises: [?] 12.1, 12.2, 12.6, 12.7, 12.9, 12.12?
31.05.2007	?	?	Conclusion of pending topics and revision?	Exercise session?
01.06.2007	?	Sem. rom B1036 Niels Henrik Abels hus. Time: 9:15 - 12:00?	Conclusion of the program?	This is the last lecture in this course. It is an exercise session. We will also revise the "pensum" for the exam.?

Publisert 11. jan. 2007 21:46 - Sist endret 25. mai 2007 18:58