This course is discontinued

Schedule, syllabus and examination date

Choose semester

Course content

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.

Learning outcome

The course gives the students a rigorous introduction to the modern theory of (advanced) mathematical finance (in continuous time).

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

Overlapping courses

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.

Teaching

3 hours of lectures/exercises per week.

Examination

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.

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

Autumn 2017

Autumn 2016

Autumn 2015

Autumn 2013

Autumn 2012

Autumn 2011

Autumn 2010

Autumn 2009

Autumn 2008

Autumn 2007

Autumn. Taught according to demand and resources. If you want to attend the course, please send an e-mail to studieinfo@math.uio.no.

Examination

Autumn 2017

Autumn 2016

Autumn 2015

Autumn 2013

Autumn 2012

Autumn 2011

Autumn 2010

Autumn 2009

Autumn 2008

Autumn 2007

According to demand and resources.

Teaching language

English

The course is given in English. If no students have asked for the course in English within the first lecture, it may be given in Norwegian.