MAT9760 - Advanced Mathematical Methods in Finance

Schedule, syllabus and examination date

Choose semester

Course content

This course deals with topics within advanced stochastic
analysis which are of particular interest. The exact content of the course may vary from year to year, depending of the demand
among the students. Examples of topics that may be covered are:

  • (i) Backward stochastic differential equations
  • (ii) Stochastic partial differential equations
  • (iii) Linear and nonlinear filtering theory
  • (iv) Stochastic analysis and optimal control for Itô-Lévy-processes

Possible applications to finance include risk measures, hedging and optimal portfolio and consumption under partial (noisy) observations.

Learning outcome

You learn advanced theories and methods within general stochastic calculus based on Lévy processes and other processes. These methods are important both for research within mathematics itself and within many types of applications. In particular, you learn how these methods can be used within mathematical finance.

Admission

PhD candidates from the University of Oslo should apply for classes and register for examinations through Studentweb.

If a course has limited intake capacity, priority will be given to PhD candidates who follow an individual education plan where this particular course is included. Some national researchers’ schools may have specific rules for ranking applicants for courses with limited intake capacity.

PhD candidates who have been admitted to another higher education institution must apply for a position as a visiting student within a given deadline.

Prerequisites

Recommended previous knowledge

Overlapping courses

10 credits overlap with MAT4760 - Advanced Mathematical Methods in Finance

For information about the potential partial overlap with other courses, contact the Department.

Teaching

4 lectures per week or similar in the spring semester,
depending on the lecturer. If the course is given by someone
from outside the department, it is possible that the course is held intensively over one or several short periods.

Examination

Depending on the number of students, the exam will be either oral or written.
What form the exam will take will be announced by the teaching staff within March 15th.

Final mark is given based 100% on the examination at the end of the semester.

In addition, each PhD student is expected to give a one hour oral presentation on a topic of relevance (chosen in cooperation with the lecturer). The presentation has to be approved by the lecturer for the student to be admitted to the final exam.

Examination support material

No examination support material is allowed.

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 pass/fail scale. Read more about the grading system.

Explanations and appeals

Resit an examination

Students who can document a valid reason for absence from the regular examination are offered a postponed examination at the beginning of the next semester.

Re-scheduled examinations are not offered to students who withdraw during, or did not pass the original examination.

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.

Facts about this course

Credits

10

Level

PhD

Teaching

Spring 2017

Spring 2016

Spring 2012

Spring 2011

Spring 2009

Taught according to demand and resources. If you want to attend the course, please send an e-mail to studieinfo@math.uio.no.

Examination

Spring 2017

Spring 2016

Spring 2012

Spring 2011

Spring 2009

According to demand and resources.

Teaching language

English

The course is given in English. If no students have asked for the course in English within the first lecture, it may be given in Norwegian.