STK4530 – Interest Rate Modelling via SPDE's

Schedule, syllabus and examination date

Choose semester

Course content

In the first part of the course we will be acquainted with the basic principles of modern interest rates theory. We will discuss popular interest models with special emphasis on statistical data analysis and calibration. In the second part of the course, we will focus on generalized interest rate models, which are described by stochastic partial differential equations or evolutionary equations.

Learning outcome

After completing the course you will:

  • know and understand mathematical concepts and results from stochastic analysis in infinite-dimensional spaces;
  • know and understand classical stochastic models for interest rates in connection with bond markets;
  • learn how to build stochastic models for the dynamics of term structures of interest rates by using mathematical tools from infinite-dimensional stochastic analysis;
  • learn and understand the advantages and deficiencies of the use of infinite-dimensional bond market models compared to classical ones from a practical and methodological point of view;
  • learn and understand how to estimate bond market model parameters both in a classical and an infinite-dimensional setting by using empirical data.

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

The courses MAT2700 – Introduction to mathematical finance and investment theory (continued) and MAT4720 – Stochastic analysis and stochastic differential equations are recommended, but not required. The necessary tools and notions will be introduced in this course.

Overlapping courses

10 credits overlap with STK9530 – Interest Rate Modelling via SPDE's

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

Teaching

4 hours lectures/exercises per week.

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

Written examination: Approved calculator.
Information about approved calculators (Norwegian only)

Oral examination: No support materials permitted.

 

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

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.