MAT4750 – Mathematical Finance: Modelling and risk management
Schedule, syllabus and examination date
MAT4750 gives an introduction to stochastic analysis and calculus for jump processes. The attention is on Levy processes as a flexible class for modelling. The course introduces continuous financial modeling for complete and incomplete markets. We will present techniques needed for risk assessment and management. This includes no-arbitrage theory, pricing of options in complete and incomplete markets. Special attention is paid to the cases of Black-Scholes and exponential Levy models. We will present the hedging problem in both complete and incomplete markets. Special attention is given to the perfect hedging in the Black-Scholes model, in contrast to the imperfect hedging in incomplete markets. We will give an introduction to minimal variance hedging as an example of quadratic hedging. When it comes to risk assessment, the course introduces risk measures, both statically and dynamically.
After completing the course you will:
- have an understanding of mathematical modelling in finance, also with aspects towards insurance;
- have an overview of problems connected to risk evaluation and management in finance;
- have a knowledge of stochastic methods for jump processes;
- know how to use techniques in stochastic analysis to financial modelling, pricing of options, hedging and risk measuring.
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.
Recommended previous knowledge
- 10 credits overlap with MAT9750 – Mathematical Finance: Modelling and risk management
- 4 credits overlap with MAT4701 – Stochastic analysis with applications (continued)
- 4 credits overlap with STK4510 – Introduction to methods and techniques in financial mathematics (discontinued)
*The information about overlaps for discontinued courses may not be complete. If you have questions, please contact the Department.
4 hours of lectures/exercises per week.
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.
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.
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
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.
The course is subject to continuous evaluation. At regular intervals we also ask students to participate in a more comprehensive evaluation.