STK9530 – Interest Rate Modelling via SPDE's
In the first part of the course we will be acquainted with the basic principles of modern interest rates theory. We will discuss popular interest models with special emphasis on statistical data analysis and calibration. In the second part of the course, we will focus on generalized interest rate models, which are described by stochastic partial differential equations or evolutionary equations.
After completing the course you will:
- know and understand mathematical concepts and results from stochastic analysis in infinite-dimensional spaces;
- know and understand classical stochastic models for interest rates in connection with bond markets;
- learn how to build stochastic models for the dynamics of term structures of interest rates by using mathematical tools from infinite-dimensional stochastic analysis;
- learn and understand the advantages and deficiencies of the use of infinite-dimensional bond market models compared to classical ones from a practical and methodological point of view;
- learn and understand how to estimate bond market model parameters both in a classical and an infinite-dimensional setting by using empirical data.
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.
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.
Recommended previous knowledge
The courses MAT2700 – Introduction to mathematical finance and investment theory (continued) and MAT4720 – Stochastic analysis and stochastic differential equations are recommended, but not required. The necessary tools and notions will be introduced in this course.
10 credits overlap with STK4530 – Interest Rate Modelling via SPDE's
*Please note that information regarding overlapping courses is not complete. For more information, please contact The Department of Mathematics.
4 hours lectures/exercises per week.
Upon the attendance of three or fewer students, the lecturer may, in conjunction with the Head of Teaching, change the course to self-study with supervision.
No mandatory assignments.
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 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.
Examination support material
Written examination: Approved calculator.
Information about approved calculators (Norwegian only)
Oral examination: No support materials permitted.
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.
Grades are awarded on a pass/fail scale. Read more about the grading system.
Explanations and appeals
Resit an examination
This course offers both postponed and resit of examination. Read more:
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.
The course is subject to continuous evaluation. At regular intervals we also ask students to participate in a more comprehensive evaluation.