MAT2700 - Høst 2006

Undervisningsplan

DatoUndervises avStedTemaKommentarer / ressurser
22.08.2006Giulia di Nunno  Auditorium 3 Kristine Bonnevies hus (Biologibygn.)  Welcome to "Introduction to MathFin". Single period securities market models. 
  • Welcome to the course: presentation and details of organization

  • Topic: Pliska book Secion 1.1
 
23.08.2006GdN  Lille fysiske auditorium øst Fysikkbygningen  Single period market models and arbitrage opportunities. 
  • Topic: Pliska Section 1.1, Section 1.2 pages 8-9.

  • Suggested exercises: Pliska Exercise 1.1, 1.2, 1.3, Example 1.6. In addition you can take a look here
 
29.08.2006GdN  Auditorium 3 Kristine Bonnevies hus (Biologibygn.)   Arbitrage opportunities and risk neutral probability measures. The fundamental theorem of asset pricing. 
  • Topic: beginning of Pliska Section 1.3

  • Suggested exercises: Pliska exe 1.8, 1.9
 
30.08.2006GdN  "Lille fysiske auditorium øst Fysikkbygningen" moved to "Store fysiske auditorium Fysikkbygningen"   The fundamental theorem of asset pricing.  
  • Topic: proof of the fundamental theorem of asset pricing (Pliska Section 1.3)

Exercise session. 

05.09.2006GdN  Auditorium 3 Kristine Bonnevies hus (Biologibygn.)   Contingent claims  Exercise session.

  • Topic: beginning of Section 1.4
 
06.09.2006GdN  "Store fysiske auditorium Fysikkbygningen" moved to "Auditorium 1 Kristine Bonnevies hus (Biologibygn.) "  Evalutation of contingent claims. Marketable claims. Complete and incomplete markets. 
  • Topic: Section 1.4, 1.5 first part.

  • Suggested exercises: Pliska exercises 1.12, 1.13, 1.15. An additional paper is here

  • For revision and self-study, you find a list of questions here
 
12.09.2006      No lessons 
13.09.2006      No lessons 
19.09.2006GdN  Auditorium 2 Kristine Bonnevies hus (Biologibygn.)     Exercise session

  • Topic: elements of the second part of Section 1.5
 
20.09.2006GdN  Auditorium 1 Kristine Bonnevies hus (Biologibygn.)   Optimal portfolios and viability 
  • Topic: elements of Section 1.6. Section 2.1

  • Suggested exercises: Pliska exercises 1.14, 1.17, 1.18, 2.1
 
26.09.2006GdN  Auditorium 2 Kristine Bonnevies hus (Biologibygn.)     No lessons due to UNGFORSK (www.ungforsk.com) 
27.09.2006GdN  Auditorium 1 Kristine Bonnevies hus (Biologibygn.)   Optimal portfolios: risk neutral computational approach. Mean-variance portfolios.  Nota Bene: usual classes + one extra hour

  • Topic: Secion 2.2, elements of Section 2.4

  • Suggested exercises: Pliska 2.3, 2.8, 2.9.

  • For revision and self-study, you find a list of questions here
 
03.10.2006GdN  Auditorium 2 Kristine Bonnevies hus (Biologibygn.)   Mutliperiod securities market models.  Nota Bene: usual classes + one extra hour

  • Topic: Section 3.1

  • Suggested exercises: Pliska exercises 3.1, 3.2, 3.3. Read from Pliska subsections 3.2.1, 3.2.2. Pliska exercise 3.4
 
04.10.2006GdN      Deadline: Friday 20th October 2006 at 14:00.

Rules about compulsory assignement can be found here

Compulsory assignement:

 
17.10.2006GdN  Auditorium 2 Kristine Bonnevies hus (Biologibygn.)   Conditional expectations and martingales. 
  • Topic: Section 3.3
 
18.10.2006GdN  Auditorium 1 Kristine Bonnevies hus (Biologibygn.)   Arbitrage, Risk neutral probability measures, the fundamental theorem of asset pricing. Contingent claims and risk neutral valutation principle. 
  • Topic: Elements of Section 3.4. Beginning of Section 4.1

  • Suggested exercises are here

  • For revision and self-study, you find a list of questions here
 
24.10.2006GdN  Auditorium 2 Kristine Bonnevies hus (Biologibygn.)     Exercise section. Exercises about conditional expectation and martingales.

  • Suggested exercises 3.11, 3.12
 
25.10.2006GdN  Auditorium 1 Kristine Bonnevies hus (Biologibygn.)     Exercise section. Exercises risk-neutral probability measures in multiperiod market models.

  • Suggested exercise 2.8
 
31.10.2006GdN  Auditorium 2 Kristine Bonnevies hus (Biologibygn.)   European Options: their marketability, their value, their price. Complete and incomplete markets. 
  • Topic: Continuation section 4.1. Section 4.4

  • Suggested exercises: Example 4.3 p.117. Exercises 4.1, 4.2, 4.3(a), 4.3(b). Example 4.10. Exercise 4.13
 
01.11.2006GdN  Auditorium 1 Kristine Bonnevies hus (Biologibygn.)   Binomial model 
  • Topic: Sections 3.5, 4.2. Some notes are here

  • Suggested exercises: 4.5, 4.6

  • For revision and self-study, you find a list of questions here
 
07.11.2006gdN  Auditorium 2 Kristine Bonnevies hus (Biologibygn.)     Nota Bene: usual classes + one extra hour

Exercise session 

08.11.2006GdN  Auditorium 1 Kristine Bonnevies hus (Biologibygn.)   Optimal portfolios: dynamic programming 
  • Topic: section 5.1

  • Suggested exercises: 5.1, 5.4 (apply the computations with r=0)
 
14.11.2006GdN  Auditorium 2 Kristine Bonnevies hus (Biologibygn.)   Optimal portfolios: risk neutral approach   Nota Bene: usual classes + one extra hour

  • Topic: Section 5.2

  • Suggested exercises: 5.5, 5.6

  • For revision and self-study, you find a list of questions here
 
15.11.2006GdN  Auditorium 1 Kristine Bonnevies hus (Biologibygn.)   More on binomial model  Completion of the pensum and exercise session

Suggested exercises: 5.7, 5.8 

21.11.2006GdN  Auditorium 2 Kristine Bonnevies hus (Biologibygn.)     Nota Bene: usual classes + one extra hour

Exercise session

Old exam papers: here and also here 

22.11.2006GdN  Auditorium 1 Kristine Bonnevies hus (Biologibygn.)     Exercise session and free time for questions 
13.12.2006      EXAM: written form, time 15:30 (3 hours). 
Publisert 8. aug. 2006 12:45 - Sist endret 22. nov. 2006 14:47
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