This course is discontinued

STK4510 – Introduction to methods and techniques in financial mathematics

Schedule, syllabus and examination date

Choose semester

Course content

The course gives an introduction to the option pricing theory. Basic probability theory and analysis is prerequisit, and is intended for students who is planning to work on a master thesis in insurance or mathematical finance. Emnet er obligatorisk for aktuarer.

Learning outcome

Arbitrage theory, Black & Scholes option pricing formula, hedging, Ito integration and Ito`s formula, geometric Brownian motion, martingale methods, partial differantial equation for option prices, Monte Carlo methods, finite difference methods, statistical analysis of returns.

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.

Overlapping courses

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

Teaching

3 hours of lectures/exercises per week.

Examination

One compulsory assignment has to be handed in and approved.

Depending on the number of students, the exam will be in one of the following four forms:
1.Only written exam
2.Only oral exam
3.A project paper followed by a written exam.
4.A project paper followed by an oral exam/hearing.
For the latter two the project paper and the exam counts equally and the final grade is based on a general impression after the final exam. (The two parts of the exam will not be individually graded.)

What form the exam will take will be announced by the teaching staff within October 15th for the autumn semester and March 15th for the spring semester.

Examination support material

Permitted aids at the exam if written: Approved calculator.
Oral exam: no aids permitted.
Information about approved calculators (Norwegian only)

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

Every autumn

Examination

Every autumn

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.