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There is a typo in exercise 2b in the trial exam: A(T) should be A(t), and
A(t):=ln S(t)-exp(-alpha)ln S(t-1)
(no 't' in the exp....)
So, two typos in the same line, sorry for that!
Here is a trial exam with exercises to prepare you for the final exam.
The exercises are an english translation of selected exercises from the years 2005 (Exercise 2), 2007 (Exercise 1 & 2) and 2008 (Exercise 1 & 2).
Those who did not collect their assignments at the lecture today can find theirs in the shelves at the 7th floor, Math Department.
Note that those who did not pass, has a deadline Tuesday October 25 at 9 to hand in their completed assignment, with the additional exercise done.
The student contact is Tea Sormbroen Lian. email: tea s lian 'at' gmail com
(all spaces should be 'dots')
The final exam in STK4510 will be a "written exam", taking place December 1
at 09:00 (4 hours).
The compulsory assignment must be handed in latest Tuesday October 11 at 14.30.
On titan.uio.no, there is a blog post from April by Gisle Hannemyr on binary options. It is in Norwegian, but an enjoyable read.
Here are two function files that I used in the lectures this week:
ksdensity() is a built-in matlab command for creating a (kernel smoothed) empirical density.
Michael Lewis: The Big Short, Penguin Books. Read the book, and maybe watch the movie:-)
Mark Davis & Alison Etheridge: Louis Bachelier's THeory of Speculation. Princeton University Press. Enganging book on the origins of modern mathematical finance, set already around 1900 by Bachelier.
Please find exercises for Sept 6 posted under "Schedule"
You can find exercises in the "Schedule" for August 30, a downloadable pdf document.
Welcome to STK4510! The first lesson will take place on Tuesday 23 at 9.15.