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The oral exams are on June 9,10, 11, in room NHA 723. 

The schedule was sent directly to those admitted. If you have not received information, please contact me immediately. As for further indications, you can read here.

The webpage is fully updated together with canvas material with the latest notes and references.

Please check the schedule page for updates on the calendar. Next week we go back to market modelling after a short tour on Escher transform. The week after, a break, and then we dive into energy markets.

A different afternoon with a timely topic! You can find all details here

At the webpage, you find a registration form, while the event is open, we need to secure good logistics.

Please register as quickly as possible!

Here you find the mandatory assignment. Deadline is March 18 at 12:00. Submission on Canvas.

Received and reposted for those interested. This is an external organisation by Imperial College London, read carefully here

Black-Scholes formula for the pricing of call options is derived with detail here, ready to be studied. You also find the put-call parity relationship, which you can well use to derive the corresponding formula for put options.

Please check the schedule to be updated on the to does and program of lectures.

Georg Ziegler Helle: georgzh at math.uio.no

Storm Magnus Kristiansen Hovland:  mhovlan at math.uio.no

For all those interested in keeping an eye on Risk and Stochastics research frontiers. You can see here.

Also you can subscribe to the STAR seminar, which also include SURE-AI @ STAR seminars (with AI in view together with applications to finance, energy, economics)

Material is updated on Canvas. Available also in Leganto. In both cases you have to login. Summaries contain both references and suggested exercises.

Important: next week there are no classes, but material is left for individual study. In particular, this is the right time to complete the revision of background in stochastic calculus!

Also directions to a first  reading on Poisson processes and compound Poisson process is given. This will come useful very soon.

Finally, if you have not yet seen it and you feel like watching a by-now classic movie with finance in view. The Big Short is recommended.

And here we are ready to get started with an exciting course on financial modelling. See you all in class on Thursday 20th for the first lecture!