MAT4730 – Mathematical finance
Schedule, syllabus and examination date
Autumn 2008: Optimal consumption and portfolio. Equilibrium in complete markets. Hedging and pricing in incomplete markets.
From autumn 2009:Pricing and hedging of options in complete markets: martingale measures. Optimal consumption and investments.
Theory of contingent claims in incomplete markets, including super- and sub-hedging, martingale measures.
The course gives the students a rigorous introduction to the modern theory of (advanced) mathematical finance (in continuous time).
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 MAT9730 – Mathematical finance (discontinued)
5 credits with MA404.
* The information about overlaps is not complete. Contact the Department for more information if necessary.
3 hours of lectures/exercises per week.
1 compulsory assignment needs to be passed within given deadlines to be allowed to take the final exam. Depending on the number of students, the exam will be either oral or written. What form the exam will take will be announced by the teaching staff within October 15th.
Final mark is given based 100% on the examination at the end of the semester.
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.