MAT2700 - Høst 2004

Undervisningsplan

DatoUndervises avStedTemaKommentarer / ressurser
19.08.2004Giulia diNunno  Auditorium 2 Vilhelm Bjerknes hus   Introductory lesson: Single period securities markets  Welcome to the course!

  • Topic: [P] Section 1.1

  • Exercises: [P] 1.3 (b),(c)
 
24.08.2004GdN  Auditorium 2 Vilhelm Bjerknes hus   Arbitrage and other economic considerations: dominant strategies and linear pricing measures 
  • Topic: [P] Section 1.2, Appendix on linear programming.

 
26.08.2004GdN  Auditorium 2 Vilhelm Bjerknes hus   Arbitrage and other economic considerations: the law of one price, arbitrage. 
  • Topic: [P] Section 1.2

 
31.08.2004GdN      No lesson 
02.09.2004GdN      No lesson 
07.09.2004GdN  Auditorium 2 Vilhelm Bjerknes hus   Risk neutral probability measures.  
  • Topic: [P] Section 1.3

  • Exercise session: correction and comments to selected exercises.
 
09.09.2004GdN  Auditorium 2 Vilhelm Bjerknes hus   Risk neutral probability measures. No arbitrage pricing principle. Complete markets. 
  • Topic: [P] Section 1.3, 1.4, 1.5

 
14.09.2004GdN  Auditorium 2 Vilhelm Bjerknes hus    
  • Exercise session: correction and comments to selected exercises.
 
16.09.2004GdN      No lesson 
21.09.2004GdN  Auditorium 2 Vilhelm Bjerknes hus  Optimal portfolios and viability. 
  • Topic: [P] Section 2.1, 2.2
 
23.09.2004GdN  Auditorium 2 Vilhelm Bjerknes hus  Consumption-Investments problems. Introduction to multiperiod market models. 
  • Topic: [P] Section 2.3. Section 3.1.1

 
28.09.2004GdN  Auditorium 2 Vilhelm Bjerknes hus   Multiperiod market model: specifications. 
  • Topic: [P] Section 3.1.2, 3.1.3, 3.1.4, 3.1.5

 

30.09.2004GdN  Auditorium 2 Vilhelm Bjerknes hus   Multiperiod market model. 
  • Topic: [P] Section 3.1.6, 3.2, 3.2.1, 3.3.2, 3.3.3

 

05.10.2004GdN  Auditorium 2 Vilhelm Bjerknes hus    
  • Exercise session: correction and comments to selected exercises
 
07.10.2004GdN  Auditorium 2 Vilhelm Bjerknes hus    
  • Exercise session: correction and comments to selected exercises

  • Oracle: last chance for the last questions!
 
11.10.2004      MID-TERM EXAM

 
19.10.2004GdN  Auditorium 2 Vilhelm Bjerknes hus   Conditional Expectations and Martingales.  Correction in class of the Exercises 1 and 5 from the Midterm exam paper.

About the topic of the day: [P] Section 3.3

 
21.10.2004GdN  Auditorium 2 Vilhelm Bjerknes hus   Arbitrage and risk neutral (martingale) probability measures  Correction in class of Exercise 2 from the Midterm exam paper.

About the topic of the day: [P] Section 3.4

 
26.10.2004GdN  Auditorium 2 Vilhelm Bjerknes hus   The binomial model and Markov models  Correction in class of Exercise 3 from the Midterm exam paper.

About the topic of the day: [P] Sections 3.5 and 3.6. You can also read these notes

 
28.10.2004GdN      No lesson 
02.11.2004GdN  Auditorium 2 Vilhelm Bjerknes hus   Contingent claims and European options  Correction in class of Exercise 4 from the Midterm exam paper.

About the topic of the day: [P] Section 4.1 

04.11.2004GdN  Auditorium 2 Vilhelm Bjerknes hus     Exercise session:

  • complete example of how to find a replicating strategy for a marketable contingent claim

Suggested exercises:

 
09.11.2004GdN  Auditorium 2 Vilhelm Bjerknes hus   European options under the binomial model. Complete and Incomplete markets.   About the topic of the day: [P] Section 4.2, and parts of Section 4.4.

 
11.11.2004GdN  Auditorium 2 Vilhelm Bjerknes hus   American options (some elements). Optimal portfolio problems in a multi period market model.  Solution of optimal portfolio problems via the standard calculus method and via dynamic programming.

About the topic of the day: [P] parts of Section 4.3 and Section 5.1.

 
16.11.2004GdN  Auditorium 2 Vilhelm Bjerknes hus     Exercise session: correction and comments to selected exercises.

 

18.11.2004GdN  Auditorium 2 Vilhelm Bjerknes hus   Optimal portfolio problems in a multi period market model.   Solution of optimal portfolio problems via the martingale method.

About the topic of the day: [P] parts of Section 4.3 and Section 5.2.

 
23.11.2004GdN  Auditorium 2 Vilhelm Bjerknes hus   Closing lecture   Exercise session: correction and comments to selected exercises.

...more to come...  

25.11.2004Inga B. Eide  Auditorium 2 Vilhelm Bjerknes hus     Exercise session: correction and comments to selected exercises. 
07.12.2004GdN  Auditorium 2 Vilhelm Bjerknes hus     Oracle: last chance for the last questions! 
10.12.2004      FINAL EXAM

 
Publisert 18. juni 2004 12:45 - Sist endret 16. nov. 2004 16:19
Del på e-post