The exam is oral and it takes place on Monday December 14th, 2015.
Some information about the exam is here
In preparation to the exam, on December 2nd there is open door for those who would like to ask questions.
Place/time: Office B1016, at 10:30.
On Wednesday November 18th during classes there will be chance to take part into the course evaluation. This is a short questionnaire prepared by:
The students of MAT4730 (representing local and exchange students): Daniel Hoffmann, Lotti Meijer
The PhD student of MAT9730: Espen Sande
The lecturer: Giulia Di Nunno
The assignment is meant as an exercise to go in depth on some topics: local martingales, admissible portfolios, take practice in optimization problems (single agent). It will be corrected, and it is chance to have constructive feedback.
Deadline for submission: October 14th, 2015
The paper is here
The first lecture is on Wednesday August 19th.
The course presents methods of stochastic optimisation for the study of a general consumption-investment problem in a complete and and incomplete market. For this some background knowledge in stochastic analysis is useful. This includes: Brownian motion, stochastic integration, Ito formula, stochastic differential equations driven by Brownian motion, martingales, Ito representation theorem and the Girsanov theorem. Stochastic integration extended to the case of local martingales will be also used and revised in class.
The first part of the course deals with the single agent problem.
The main reference book is Methods of Mathematical Finance by I. Karatzas, Springer.
See you all on Wednesday!