Published June 3, 2009 11:35 AM

You have already received this by e-mail, but a few last-minute messages:

  • The exam problem set will be available on this website Friday at 1400. The administration has not prepared paper copies.
  • A hand-written solution is OK (don't waste time typesetting). You will however be expected to hand in two copies, so make sure a photocopy is readable.
  • Your solutions should bear your student numbers. Look it up in studentweb. Your name should not appear on them.
  • For home exams, there are citation rules (please read them). As far as I can see, the only source you might not have a thorough citation for, is the copies handed out for the extreme value theory part. They are from Embrechts, Paul; Klüppelberg, Claudia; Mikosch, Thomas: "Modelling Extremal Events", Springer-Verlag, Berlin, 1997. ISBN: 3-540-60931-8

  • How-to-contact-the-teacher from now and until Sunday: See your e-mails.

Published May 20, 2009 4:33 PM

Various exam related information:

  • The grading is only pass/fail. (E is a pass, except for the PhD version.)
  • A note on the core theory is now available.
  • Note however that we have decided against a 'clear cut mathematical' exam -- you might need to consider a text-based problem and pose a model. See the note.
  • We have decided against any exam problems which will involve your numerical work from the term paper. You will not be asked to do any coding.


  • The note on the term paper problems is now updated.
  • A link to the 'information concepts' note was lost, and is put up; I was a bit ambiguous towards doing so, because I did not see it as too important to the course in the first place, and even less now. Read it if you think it helps you.

Published May 11, 2009 3:01 PM

Seminar Wednesday 13th at 1415, room 1220 Topic: the term paper problem (but feel free to ask other questions).

Published Apr. 29, 2009 4:18 AM

A note on the solution of the term paper problem set is available. There might be errors, comments welcome.

Published Apr. 26, 2009 10:46 PM

To those of you who intend to take this course for credits:

Please check your e-mailboxes for mail sent from me today. If you have not received any, it means that either (1) I have not received any compulsory term paper from you, or (2) I have an incorrect e-mail address for you, or (3) message is delayed or erroneously spamfiltered (yes, such things do happen).

Published Apr. 14, 2009 4:21 PM

Seminar Thursday 10:15--12: room 1220.

Topic: whatever you request (like e.g. clarifications on the term paper problem set) -- e-mails welcome.

Published Apr. 3, 2009 8:31 PM

(This message obsoletes today's previous message.)

  • New version of the Schweder compendium up today -- the problem referred to in the term paper problem set is now back at number "13". Anyway, the version clickable in the term paper problem set is the correct one.

  • New problems posted, and last solution set corrected.

Published Apr. 2, 2009 7:01 PM

On Friday 03.04 we will look at stochastic differential equation models of the Orenstein-Uhlenbeck type. As an application a stochastic version of the climate model of Weitzman (2008) will be investigated. This material is written up in a new version of my compendium (Schweder 2009) which now is posted.

Published Apr. 1, 2009 8:56 PM

Updates as to the first three of Sunday's four points ((1) term paper, (2) schedule, (3) problems) -- as for (4), I haven't produced anything yet, but I suppose there will be need for a more thorough note on what is more important and what is less in this course.

(1) The term paper

  • A clarification on Problem 2 is up.
  • I've had no other feedback to the problem set nor to the suggestion of a seminar on the 16th.

(2) The schedule

  • Remember that Friday's lecture is 12:15 at the Frisch room.
  • Today's seminar called off, as only one of you showed up. However, I still uphold the suggestions in the March 29 message.

(3) Problems and solutions

  • New version of the solutions now posted -- with even more errors having to be correced
  • The EVT problems updated with solutions -- and o...
Published Mar. 30, 2009 1:22 AM

This message concerns (1) the term paper problem set, (2) the schedule for the rest of the course, (3) problem set errata and solutions, and (4) last Friday's lecture.

(1) The term paper problem set

  • I have already had some reactions to a problem; Please send more a.s.a.p., as I will anyway have to write some clarification by this week (before Easter).

  • I suggest: A seminar (say Thursday April 16th at 10:15), to sort out further issues in case there are any. Q: Time OK?

(2) The schedule

  • I have scheduled a seminar for problems Wednesday 14:15--16 at the Frisch room. (1315 would have been possible with me, but not earlier.) Please e-mail requests.

  • Next Friday's lecture is 12:15--14, and at the Frisch room

  • As noted abo...
Published Mar. 26, 2009 1:08 AM

PS: And, remember, that due to the time conflict with 5210, upcoming and next Fridays' lectures are postponed two hours.

Published Mar. 25, 2009 5:12 PM

  • More solutions available
  • Suggestion: Seminar next week Wednesday at 14:15?
  • This Friday -- and next week -- we'll be at the Frisch room.

Published Mar. 22, 2009 4:59 PM

New problems up.

Published Mar. 19, 2009 11:16 PM

A note on concepts of information for tomorrow's lecture here .

Published Mar. 18, 2009 1:33 PM

Room for the problem seminar tomorrow: Room 220. Not 1220, but 220, second floor.

Published Mar. 16, 2009 1:08 PM

  • The term paper problem set, complete with information, problem 5 in EVT, a change (simplifying a problem) and errors corrected, is now available. Note that the front page to use for your papers is hidden behind the Attachments tab.

  • A regular problem set for the EVT subject is also available.

Published Mar. 13, 2009 5:10 PM

Next week's problems seminar moved to Thursday 12:15 due to a conflicting scheme (with 5210, my bad). I will find a room. Requests for problems still anticipated.

Published Mar. 9, 2009 11:27 PM

A few messages, please read:

  • A draft term paper problem set is up. "Draft" in the sense that I have not entered the formal requirements etc., but the problems are there with one exception: Students with Math 4 credits will have an additional problem in extreme value theory. Problem set to be updated after Friday's lecture.

  • Problems from TK VI and VIII also given; not much, due to the term paper problem set. Unfortunately, I have not had time to write solutions to the previous set.

  • Upcoming Friday: Extreme value theory (suitable for a Friday 13th?), for students with Math 4 credits. Others of course welcome too.

  • Suggestion: A seminar on problems on Wednesday 18 at 12:15? Q: OK? Mail me requests by this week.

  • Espen Henriksen's Matlab file available. Notice the .m file is an attachment to the .pdf file....

Published Mar. 4, 2009 1:50 AM

Problems from TK ch. V: 3.4, 4.2, 4.7, 6.3, 6.10

Published Feb. 25, 2009 1:31 PM

Just a reminder that there is lecture on Friday. Teaching plan updated (see "Detailed teaching plan" under the "Teaching" headline.)

Published Feb. 23, 2009 10:59 AM

More solutions. Please note that Pr[#errors>0 | every problem solved by Nils from scratch] is a very nonnegative number. Feedback appreciated.

Published Feb. 21, 2009 11:42 PM

Revised note up. Sorry for the inconvenience.

Published Feb. 21, 2009 12:22 AM

Argh! There is an embarrassing mistake in the note from 15th/16th, in the consumption-bit on the portfolios (me confusing the discrete-time formula with the continuous-time formula).

The correct consumption-financing portfolio dynamics should be X(t+1)=(X(t)-c(t))(1+r+uV) -- that is, only what you don't consume, should be invested.

The error affects the problem set (#2 and #3), but a quick panicking back-of-the-envelope calculation indicates I should not need to put further assumptions, though a hint for problem 3 should be appropriate.

A new version to be put up soon, but not tonight. My apologies :-(

-- Nils

Published Feb. 17, 2009 7:21 PM

More solutions up.