MAT4760 – Advanced Mathematical Methods in Finance

Schedule, syllabus and examination date

Choose semester

Course content

This course deals with topics within advanced stochastic analysis, which are of particular interest. The exact content of the course may vary from year to year, depending of the demand among the students. Examples of topics that may be covered are:

  • (i) Backward stochastic differential equations;
  • (ii) Stochastic partial differential equations;
  • (iii) Stochastic analysis and optimal control for Itô-Lévy-processes.

Possible applications to finance include risk measures, hedging and optimal portfolio and consumption problems.

Learning outcome

After completing the course you will:

  • know about advanced theories and methods within stochastic calculus for Lévy processes and other processes like Gaussian processes;
  • know how these methods can be used within mathematical finance.

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

Recommended previous knowledge

MAT4720 - Stochastic analysis and stochastic differential equations (MAT4701)

Overlapping courses

10 credits overlap with MAT9760 – Advanced Mathematical Methods in Finance

*The information about overlaps for discontinued courses may not be complete. If you have questions, please contact the Department

Teaching

4 lectures per week or similar in the spring semester, depending on the lecturer. If the course is given by someone from outside the department, it is possible that the course is held intensively over one or several short periods.

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.

Examination

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.

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

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.

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

Master

Teaching

Taught according to demand and resources. Contact studieinfo@math.uio.no if you are interested in this course.

Examination

The same semester as taught.

Teaching language

English

The course may be taught in Norwegian if the lecturer and all students at the first lecture agree to it.