Semester page for STK-MAT3700 - Autumn 2019

Here you can find a detailed solution to the exam held last Monday, December 2.  

Dec. 5, 2019 1:21 PM

Some corrections:

  • I have rewritten the explanation for the use of the martingale method to solve the optimization problem in problem 3 (last year's exam) and exercise 7 (List 4).
  • I have explained better the solution to Problem 1. 3. a) in the compulsory assignment.

In order to prepare for the exam:

  • Check that you are studying from the last updates of lectures, exercises, etc...
  • Have a look at the last year's exam to have a good idea of what kind of questions to expect in the exam.
  • I remind you that no calculator is allowed in the exam. You can write the answer to the problems, when needed, in terms of fractions, logarithms, roots, etc...  

Best luck to everyone!!! 

 

Nov. 28, 2019 10:52 PM

Here you find the definitive syllabus for the course. Note that the review on linear programming and the last lecture: The Cox-Ross-Rubinstein & Black-Scholes models are NOT material for examination.

Nov. 24, 2019 7:37 PM

Here you find the suggested solution for the compulsory assignment.

Nov. 19, 2019 11:43 AM

Here you can find last year's exam and here its solution.

Nov. 11, 2019 8:08 AM

Here you find the compulsory assignment. Please read carefully the instructions. The deadline to hand in the assignment is October 31, 2018. 

Oct. 16, 2019 5:19 PM

For those interested, we signal the upcoming series of lectures about the Information content of option prices, held by Prof. Carlo Sala at ESADE, Sant Cugat, Spain. More details can be found here.

Oct. 7, 2019 9:43 AM

Here you can find a review of basic concepts and result on linear programming. This material is for self-study. I will not explain it in class, but some results will be used in the proofs of the fundamental theorems of asset pricing.

Oct. 5, 2019 1:27 PM

Just to recall you that the lecture on Monday, September 9, is cancelled due to my particpation in the Vienna Congress on Mathematical Finance 2019.

Next lecture will be Thursday, September 12. Both hours will be theory.

Sep. 5, 2019 1:16 PM

Fride Straum (fride.jes "at" hotmail.com) and Håvard Bjørgum (havard.bjorgum "at" hotmail.com) are the student representatives for this course.

You can contact them regarding any feedback you may have about the course.

Sep. 5, 2019 1:08 PM