| Date | Teacher | Place | Topic | Lecture notes / comments |
| 26.11.2010 | No teaching or exercise classes? | ? | ? | ? |
| 19.11.2010 | FEB? | Aud 3, VB? | Monte Carlo methods? | We discuss Monte Carlo methods for pricing options? |
| 12.11.2010 | FEB? | Aud 3, VB? | Exercise class, from 10 approximately? | We go though the rest of exam 2009, in particular, exercises 1 and 3, and c+d on exercise 2.Suggested solutions can be downloaded here? |
| 12.11.2010 | FEB? | Aud 3, VB? | Proofs of representation theorems? | We prove the Ito and martingale representation theorems. Sect. 4.3 in ?ksendal ? |
| 12.11.2010 | FEB? | Aud 3, VB? | Exercise class? | Exam from 2009? |
| 05.11.2010 | FEB? | Aud 3, VB? | Compulsory exercise? | We discuss the compulsory exercise? |
| 05.11.2010 | FEB? | Aud 3, VB? | Exercise class, 11-12? | Exercises? |
| 29.10.2010 | FEB? | Aud 3, VB? | Options on several assets. Completeness, arbitrage and EMM? | We price options on several assets, including for example spread and basket options (Sect. 4.7 in B). Next, we discuss the issues around completeness, arbitrage and existence of equivalent martingale measures (Sect. 4.8 in B). ? |
| 29.10.2010 | No exercise class due to compulsory exercise? | ? | ? | ? |
| 22.10.2010 | FEB? | Aud 3, VB? | Pricing of derivatives, the martingale approach? | We use the martingale approach to price general derivatives. Sect. 4.5. in B. Next, we look at the connection to the other approach to pricing (Sect. 4.6 in B)? |
| 22.10.2010 | FEB? | Aud 3, VB? | Exercise class, 11-12? | Exercises? |
| 15.10.2010 | FEB? | Aud 3, VB? | Girsanov's Theorem, and financial application? | We state, prove and apply Girsanov's theorem, section 8.6 in ?ksendal? |
| 15.10.2010 | FEB? | Aud 3, VB? | Exercise class, 11-12? | Exercises?? |
| 08.10.2010 | No teaching or exercise class? | ? | ? | ? |
| 01.10.2010 | No teaching or exercise class? | ? | ? | ? |
| 24.09.2010 | FEB? | Aud 3, VB? | Black & Scholes' option pricing formula? | We derive the Black & Scholes Formula for the price of call options using Ito's Formula. Sections 4.2 and 4.3 in B. Read section 4.1 yourself. ? |
| 24.09.2010 | FEB? | Aud 3, VB? | Exercise class, 11-12? | Exercises?? |
| 17.09.2010 | FEB? | Aud 3, VB? | Ito's Formula? | We state and prove the stochastic chain rule, Ito's Formula. Sect. 4.1. in ?? |
| 17.09.2010 | FEB? | Aud 3, VB? | Exercise class, 11-12? | Exercises?? |
| 10.09.2010 | FEB? | Aud 3, VB? | Conditional expectation? | We define and study conditional expectation, sect. 3.2 in ? ? |
| 10.09.2010 | FEB? | Aud 3 VB? | Exercise class, 11-12? | Exercises? |
| 03.09.2010 | FEB? | Aud 3,VB? | Geometric Brownian motion, asset prices and Ito integration? | We study a class of models for asset prices called geometric Brownian motion, and discuss some empirical issues (Ch. 2 in B). Next, we start discussing Ito integration (Sect. 3.1 in ?). ? |
| 03.09.2010 | FEB? | Aud 3, VB? | Exercise class, 11-12? | Exercises? |
| 27.08.2010 | Fred Espen Benth (FEB)? | Aud 3, VB? | Brownian motion as a basic model in finance? | Definition of probability spaces and Brownian motion, the foundations of stochastic analysis: Chapters 2.1 and 2.2 in ?ksendal (?)Introduction to the course is given in Chapter 1 in Benth (B); which is left to self-reading (mostly).? |
Teaching plan
Published July 7, 2010 2:26 PM
- Last modified Aug. 25, 2011 3:08 PM