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) Stochastic analysis and optimal control for Itô-Lévy-processes.

Possible applications to finance include risk measures, hedging and optimal portfolio and consumption problems.

Learning outcome

After completing the course you will:

  • know about advanced theories and methods within stochastic calculus for Lévy processes and other processes like Gaussian processes;
  • know how these methods can be used within mathematical finance.

In addition to the final exam, each PhD student is expected to give an 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.

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

*Please note that information regarding overlapping courses is not complete. For more information, please contact The Department of Mathematics.

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

Final oral or written examination. The form of examination will be announced by the teaching staff by 15 October/15 March for the autumn semester and the spring semester respectively.

In addition, each PhD student is expected to give an 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.