MAT2700 - Høst 2007

Undervisningsplan

DatoUndervises avStedTemaKommentarer / ressurser
22.08.2007Giulia diNunno  Auditorium 2 Vilhelm Bjerknes hus  Welcome to "Introduction to MathFin". Single period securities market models.  
  • Welcome to the course: presentation and details of organization

  • Topic: Pliska [P] book Section 1.1
 
28.08.2007GdN  Auditorium 4 Vilhelm Bjerknes hus   Single period market models, trading strategies, the "law of one price", arbitrage opportunities.   Topic: [P] Sections 1.1, 1.2 (particularly pp. 9-10) 
29.08.2007GdN  Auditorium 2 Vilhelm Bjerknes hus   Arbitrage opportunities, "fair markets", risk-neutral probability measures, the "fundamental theorem of asset pricing" 
  • Topic: [P] Section 1.3

  • Suggested exercises: [P] Exercises 1.1, 1.2, 1.3, 1.8, 1.9 and in addition take a look here
 
04.09.2007GdN  Auditorium 4 Vilhelm Bjerknes hus     Exercise session 
05.09.2007GdN  Auditorium 2 Vilhelm Bjerknes hus   Contingent claims and their "fair" price 
  • Topic: [P] Section 1.4

  • Suggested exercises: [P] Exercises 1.12, 1.13
 
11.09.2007GdN  Auditorium 4 Vilhelm Bjerknes hus   Complete and incomplete markets 
  • Topic [P] Section 1.5. Elements of Section 1.6

  • Suggested exercises: [P] Exercises 1.14, 1.15, 1.17, 1.18.

  • For revision and self-study, you find a list of questions here
 
12.09.2007GdN  Auditorium 2 Vilhelm Bjerknes hus   Optimal porfolios and viability 
  • Example closing the discussion on market modeling and pricing of contingent claims

  • Introduction to optimal portfolio and viability, [P] Section 2.1
  
25.09.2007GdN  Auditorium 4 Vilhelm Bjerknes hus     Exercise session 
26.09.2007GdN  Auditorium 2 Vilhelm Bjerknes hus   Optimal portfolios and risk-neutral computational approach 
  • Topics [P] Sections 2.1, 2.2

  • Suggested exercises: [P] Exercises 2.1, 2.2, 2,3

  • Download the mandatory assignment (in English and in Norsk )

The deadline for delivery of your papers is October 12th. The paper should be hand in at the reception of the Department of Mathematics (7th floor N.H.Abels hus) within office hours. 

02.10.2007GdN  Auditorium 4 Vilhelm Bjerknes hus   Optimal portfolios and optimal consumption-investment problems 
  • Examples and exercises from the solution of optimal portfolio problems (Exercise session)

  • Topic: [P] Section 2.3 (extra: few items of Section 2.7) with examples

  • Suggested exercises: [P] Exercise 2.4, Exercise 2.7

  • For revision and self-study, you find a list of questions here
  
03.10.2007GdN  Auditorium 2 Vilhelm Bjerknes hus   Multiperiod market models 
  • Topic: [P] Section 3.1

  • Suggested exercises: [P] Exercise 3.1, 3.2, 3.3, Subsection 3.2.1
 
16.10.2007GdN  Auditorium 4 Vilhelm Bjerknes hus   Conditional expecations, martingales and risk-neutral probability measures in a multiperiod market model 
  • Topic: [P] Section 3.3, elements of Section 3.4

  • Suggested exercises: [P] Exercise 3.4, 3.5, 3.7, 3.8, 3.9, 3.10, 3.11, 3.12
 
17.10.2007GdN  Auditorium 2 Vilhelm Bjerknes hus   Contingent claims and replicating strategies 
  • Short exercise/example session

  • Topic: [P] Section 4.1 elements
 
23.10.2007GdN  Auditorium 4 Vilhelm Bjerknes hus   Marketable contingent claim, price processes and trading strategies 
  • Topic: [P] Section 4.1
 
24.10.2007GdN  Auditorium 2 Vilhelm Bjerknes hus   Complete and incomplete markets. The Binomial model 
  • Topic: [P] Section 4.4, 3.5

  • Suggested exercises: [P] Exercise 4.1, 4.2, 4.3 (a,b), 4.13, Section 4.2, Exercises 4.5, 4.6.

  • For revision and self-study, you find a list of questions here and here

  • About the binomial model: here
  
30.10.2007GdN  Auditorium 4 Vilhelm Bjerknes hus   Portfolio optimization 
  • Topics: [P] Section 5.1 and examples

17:00 (after class): Meeting with student representatives for the evaluation of the course 

31.10.2007GdN  Auditorium 2 Vilhelm Bjerknes hus   Portfolio Optimization 
  • Topics: [P] Section 5.2

  • Suggested exercises: [P] Exercises 5.1, 5.4, 5.5, 5.6, 5.7, 5.8

  • For revision and self-study, you find a list of questions here
 
06.11.2007Yeliz Yolcu Okur  Auditorium 4 Vilhelm Bjerknes hus     Exercise session: correction of suggested exercises (focus on Chapter 4) 
07.11.2007Andrea Barth  Auditorium 2 Vilhelm Bjerknes hus     Exercise session: Exercises from past exam papers (December 2004 and December 2006) 
13.11.2007GdN  Auditorium 4 Vilhelm Bjerknes hus    Last few things to conclude: revision of the Binomial model with extra comments, utility optimization in Binomial model. 
14.11.2007GdN  Auditorium 2 Vilhelm Bjerknes hus    Exercises session.

Last class! 

December 11th. Open hours! You can find me in my office from 10:00 - 12:00 available for last minute questions.

December 13th. Exam. Please check the web-pages related.

Publisert 9. aug. 2007 16:14 - Sist endret 13. nov. 2007 18:45
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