Schedule, syllabus and examination date

Course content

Optimal consumption and portfolio. Equilibrium in complete markets. Hedging and pricing in incomplete markets.

Learning outcome

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

Admission

PhD candidates from the University of Oslo should apply for classes and register for examinations through Studentweb.

If a course has limited intake capacity, priority will be given to PhD candidates who follow an individual education plan where this particular course is included. Some national researchers’ schools may have specific rules for ranking applicants for courses with limited intake capacity.

PhD candidates who have been admitted to another higher education institution must apply for a position as a visiting student within a given deadline.

Prerequisites

Formal prerequisite knowledge

None.

Recommended previous knowledge

MAT4710 – Stochastic analysis II (discontinued).

Overlapping courses

10 credits overlap with MAT4730 – Mathematical finance (discontinued)

5 credits with MA 404.

* The information about overlaps is not complete. Contact the Department for more information if necessary.

Teaching

3 hours of lectures/exercises per week.

Examination

Oral exam.

In addition, each phd student is expected to give a one hour oral presentation on a topic of relevance (chosen in cooperation with the lecturer). The presentation has to be approved by the lecturer for the student to be admitted to the final exam.

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 pass/fail scale. 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
PhD
Teaching
Autumn 2017
Autumn 2016
Autumn 2015
Autumn 2013

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

According to demand and resources.

Teaching language
Norwegian (English on request)

The course may also be given in English if PhD-students connected to the Department of Mathematics request it within given deadlines.