STK4510 – Introduction to methods and techniques in financial mathematics
Course description
Schedule, syllabus and examination date
Course content
The course gives an introduction to the option pricing theory. Basic probability theory and analysis is prerequisit, and is intended for students who is planning to work on a master thesis in insurance or mathematical finance. Emnet er obligatorisk for aktuarer.
Learning outcome
Arbitrage theory, Black & Scholes option pricing formula, hedging, Ito integration and Ito`s formula, geometric Brownian motion, martingale methods, partial differantial equation for option prices, Monte Carlo methods, finite difference methods, statistical analysis of returns.
Admission
Students who are admitted to study programmes at UiO must each semester register which courses and exams they wish to sign up for in Studentweb.
If you are not already enrolled as a student at UiO, please see our information about admission requirements and procedures.
Prerequisites
Recommended previous knowledge
MAT2700 – Introduction to mathematical finance and investment theory (continued), MAT1100 – Calculus, MAT1110 – Calculus and Linear Algebra, MAT1120 – Linear Algebra, STK1100 – Probability and Statistical Modelling and STK1110 – Statistical Methods and Data Analysis.
Overlapping courses
- 5 credits overlap with MAT4700 – Stochastic analysis I (discontinued)
- 5 credits overlap with MAT9700 – Stochastic analysis I (discontinued)
- 5 credits overlap with MAT4710 – Stochastic analysis II (discontinued)
* The information about overlaps is not complete. Contact the department for more information if necessary.
Teaching
3 hours of lectures/exercises per week.
Examination
One compulsory assignment has to be handed in and approved.
Depending on the number of students, the exam will be in one of the following four forms:
1.Only written exam
2.Only oral exam
3.A project paper followed by a written exam.
4.A project paper followed by an oral exam/hearing.
For the latter two the project paper and the exam counts equally and the final grade is based on a general impression after the final exam. (The two parts of the exam will not be individually graded.)
What form the exam will take will be announced by the teaching staff within October 15th for the autumn semester and March 15th for the spring semester.
Examination support material
Permitted aids at the exam if written: Approved calculator.
Oral exam: no aids permitted.
Information about approved calculators (Norwegian only)
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 scale from A to F, where A is the best grade and F is a fail. Read more about the grading system.
Explanations and appeals
Resit an examination
This course offers both postponed and resit of examination. Read more:
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.