This course is replaced by STK-MAT3700.

MAT2700 – Introduction to mathematical finance and investment theory

Schedule, syllabus and examination date

Choose semester

Course content

The course will give an introduction to the most important notions and problems in mathematical finance. The theory of arbitrage for pricing and hedging derivatives (options) will be studied in the context of discrete time models. Moreover the course will focus on the theory of investments with special stress given to utility optimization and the Markovit`s theory for optimal portfolio choice.

Learning outcome

The students should understand the underlaying principles of modern finance and investments theory. They should be given the mathematical theoretical and practical skills to be used in quantifying the price of financial contracts, in computing the hedging strategies and in making investments choises which balance profit and risk.

Admission

Students who are admitted to study programmes at UiO must each semester register which courses and exams they wish to sign up for in Studentweb.

If you are not already enrolled as a student at UiO, please see our information about admission requirements and procedures.

Prerequisites

Formal prerequisite knowledge

In addition to fulfilling the Higher Education Entrance Qualification, applicants have to meet the following special admission requirements:

  • Mathematics R1 (or Mathematics S1 and S2) + R2

And in addition one of these:

  • Physics (1+2)
  • Chemistry (1+2)
  • Biology (1+2)
  • Information technology (1+2)
  • Geosciences (1+2)
  • Technology and theories of research (1+2)

The special admission requirements may also be covered by equivalent studies from Norwegian upper secondary school or by other equivalent studies (in Norwegian).

Recommended previous knowledge

The course is based on MAT1100 – Calculus, MAT1110 – Calculus and Linear Algebra, MAT1120 – Linear algebra and STK1100 – Probability and Statistical Modelling. It may also be useful to have taken STK2130 – Modelling by Stochastic Processes.

Overlapping courses

10 credits with MØ105.

*The information about overlaps is not complete. Contact the department for more information if necessary.

Teaching

Teaching will be given as lectures and seminar exercises during a period of one semester. Compulsory assignments have to be handed in.

Examination

One compulsory assignments need to be passed within given deadlines to be allowed to take the final exam. Final mark based on written examination at the end of the semester.

Rules for compulsory assignments at the Department of Mathematics

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 scale from A to F, where A is the best grade and F is a fail. 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

Bachelor

Teaching

Every autumn

Examination

Every autumn

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.