STK9530 - Interest Rate Modelling via SPDE's

Schedule, syllabus and examination date

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Course content

Popular interest rate models for bond markets. Statistical analysis and calibration of interest rate models. Generalized models for the term structure of interest rates described by stochastic partial differential equations or stochastic evolution equations.

Learning outcome

The course gives a rigorous introduction to (advanced) interest rate modelling in finance and insurance.

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

The courses MAT2700 - Introduction to mathematical finance and investment theory and MAT4701 - Stochastic analysis with applications are recommended, but not required. The necessary tools and notions will be introduced in this course.

Overlapping courses

10 credits overlap with STK4530 - Interest Rate Modelling via SPDE's

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

Teaching

4 hours lectures/exercises per week

Examination

Depending on the number of students, the exam will be in one of the following four forms:
1.Only written exam
2.Only oral exam
3.A project paper followed by a written exam.
4.A project paper followed by an oral exam/hearing.
For the latter two the project paper and the exam counts equally and the final grade is based on å general impression after the final exam. (The two parts of the exam will not be individually graded.)

What form the exam will take will be announced by the teaching staff within October 15th for the autumn semester and March 15th for the spring 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

Permitted aids at the exam if written: approved calculator.

Oral exam: no aids permitted

Information about approved calculators (Norwegian only)

 

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

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.

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

Autumn 2017

Autumn 2016

Spring 2014

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

Examination

Autumn 2017

Autumn 2016

Spring 2014

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.