MAT2700 - Autumn 2010

Undervisningsplan

DatoUndervises avStedTemaKommentarer / ressurser
25.08.2010Bernt Øksendal  Auditorium 4, Vilhelm Bjerknes hus  Section 1.1 and (if time) 1.2  Welcome to MAT2700 Autumn 2010!

We will begin this first lecture of the course with some general comments and examples from mathematical finance. This presentation is based on the paper B.Øksendal: "Mathematics and Finance: The Black-Scholes Option Pricing Formula and Beyond", in Matilde Nr. 37 (2009),pp. 9-14. The paper can be downloaded from http://www.math.uio.no/eprint/pure_math/2010/11-10.html

Then we start Section 1.1 (Model specifications) from the textbook. If time permits we proceed to Section 1.2.

Exercises for Friday 27 August: 1.1, 1.2 and 1.3 (a). 

27.08.2010An Thi Kieu Ta  Auditorium 4  Exercise session  Exercises 1.1, 1.2 and 1.3(a).

If time permits we continue with Sections 1.1 and 1.2 from the textbook. 

01.09.2010Bernt Øksendal  Auditorium 4  Lectures  We continue Section 1.3 and (if time permits) proceed to Section 1.4 
03.09.2010Bernt Øksendal  Auditorium 4  Exercise session  Exercises 1.4, 1.5 and 1.8 
08.09.2010Bernt Øksendal  Auditorium 4  Lectures  We continue Section 1.4 and proceed to Section 1.5 
10.09.2010An Thi Kieu Ta  Auditorium 4  Exercise session  Exercises 1.9 and 1.14.

Then we complete Section 1.5 

15.09.2010Bernt Øksendal  Auditorium 4  Lectures  Section 1.6 and Section 2.1 
17.09.2010Bernt Øksendal  Auditorium 4  Exercise session  Exercises 1.15 and 2.1.

We start Section 2.2. 

22.09.2010Bernt Øksendal  Auditorium 4  Lectures  We continue Section 2.2 and start Section 2.3. 
24.09.2010An Thi Kieu Ta  Auditorium 4  Exercise session  Exercise 2.2, 2.3 and (if time) 2.4 
29.09.2010An Thi Kieu Ta  Auditorium 4  Lectures  Section 2.4 and Section 2.5 
01.10.2010An Thi Kieu Ta  Auditorium 4  Exercise session  Exercises 2.5, 2.6 and 2.7 
06.10.2010Bernt Øksendal  Auditorium 4  Lectures  We continue Section 2.5 
08.10.2010An Thi Kieu Ta  Auditorium 4  Exercise session  Exercises 2.8, 2.9 and 2.10.

If time permits we continue with Section 2.5 from textbook.

Exercises for Friday 15 October: 2.11 and 2.12  

13.10.2010Bernt Øksendal  Auditorium 4  Lectures  Section 2.6 
15.10.2010Bernt Øksendal  Auditorium 4  Exercise session  Exercises 2.11 and 2.12.

If time permits, we start Section 2.7/Section 3.1. 

20.10.2010Bernt Øksendal  Auditorium 4  Lectures  Section 3.1 
22.10.2010An Thi Kieu Ta  Auditorium 4  Exercise session  Exercises 3.1, 3.2 and 3.3.

If time permits we continue Section 3.1/3.2. 

27.10.2010An Thi Kieu Ta  Auditorium 4  Lectures  Section 3.3 and Section 3.4 
29.10.2010An Thi Kieu Ta  Auditorium 4  Exercises section  Exercise 3.7, 3.8 and 3.9.

If time permits we continue Section 3.4 

03.11.2010Bernt Øksendal  Auditorium 4  Lectures  We first do a review of Chapter 3 and then start Chapter 4, Section 4.1 
05.11.2010Bernt Øksendal/An Thi Kieu Ta  Auditorium 4  Lecture/Exercise session  First Section 4.1, then Exercise 3.11 and Section 4.4 
10.11.2010Bernt Øksendal  Auditorium 4  Lectures  Section 5.1 
12.11.2010An Thi Kieu Ta  Auditorium 4  Exercise session  Exercise 4.1 a) and Exercise 4.13 (first part) 
17.11.2010Bernt Øksendal  Auditorium 4  Lectures  Section 5.2 and completion of course 
19.11.2010An Thi Kieu Ta  Auditorium 4  Exercise session  Exercise 5.1 and Exercise 5.5 
24.11.2010An Thi Kieu Ta  Auditorium 4  Review session  The course is reviewed by going through exam problems from earlier years. 
Published June 3, 2010 12:38 PM - Last modified Nov. 3, 2010 4:46 PM
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