MAT4710 - V?r 2005

Undervisningsplan

DatoUndervises avStedTemaKommentarer / ressurser
18.01.2005Giulia di Nunno? Auditorium 3 Vilhelm Bjerknes hus? Welcome to the course!? Note that the first half of the course is formally overlapping with the course MAT4700 "Stokastiske analyse I". Please visit the correponding webpage for the detailed teaching plan.

A presentation of the course is available here?

06.04.2005GdN? Math. Building B63 ? Girsanov's theorems. Part I.? A detailed description of the material discussed and further references is here?
07.04.2005GdN? Math. Building B63? Girsanov's theorems. Part II. ? A detailed description of the material discussed and further references is here

Suggested exercises are: [?] 4.12, 4.13, 8.12, 8.17. Example 8.6.7. More here??

12.04.2005GdN? Math. Building B63? Optimal stopping problems. Part I.? A detailed description of the material discussed and further references is here??
13.04.2005GdN? Math. Building B81? Optimal stopping problems. Part II.? A detailed description of the material discussed and further references is here??
14.04.2005GdN? Math. Building B63 ? Optimal stopping problems. Part III.? A detailed description of the material discussed and further references is here

Suggested exercises are: [?] 10.1, 10.2, 10.13, 10.14. Prove the statements in [?] Lemma 10.1.3. Take a close look at the examples [?] 10.1.13, 10.1.14, 10.2.1 and the couple 10.2.2 and 10.4.2.?

19.04.2005GdN ? Math. Building B63 ? Exercise session.? Correction and discussion in class on selected exercises. ?
20.04.2005GdN? Math. Building B63 ? Exercise session from 16:00-17:00? Correction and discussion in class on selected exercises. ?
21.04.2005GdN? Math. Building B63 ? Exercise session from 16:00-17:00? Correction and discussion in class on selected exercises.?
26.04.2005GdN? Math. Building B63?? Stochastic control. Part I.? A detailed description of the material discussed and further references is here?
27.04.2005GdN? Math. Building B81 ? Stochastic control. Part II.? A detailed description of the material discussed and further references is here

Suggested exercises are: [?] 11.1, 11.7, 11.8, 11.12.

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28.04.2005GdN? Math. Building B63? Exercise session.? Example on the solution of a stochastic control problem. Correction and discussion in class on selected exercises.?
03.05.2005GdN? Math. Building B63? Applications to Mathematical Finance. Part I.? A detailed description of the material discussed and further references is here??
04.05.2005GdN? Math. Building B63? Applications to Mathematical Finance. Part II.? A detailed description of the material discussed and further references is here??
10.05.2005GdN? Math. Building B63? Applications to Mathematical Finance. Part III.? A detailed description of the material discussed and further references is here

Suggested exercises are: [?] 12.1, 12.2, 12.6?

11.05.2005GdN? Math. Building B63? Application to Mathematical Finance. Part IV.? A detailed description of the material discussed and further references is here?
12.05.2005GdN? Math. Building B63? Application to Mathematical Finance. Part V. ? A detailed description of the material discussed and further references is here?
18.05.2005GdN? Math. Building B63? Application to Mathematical Finance. Part VI.? A detailed description of the material discussed and further references is here?
19.05.2005GdN? Math. Building B63? Application to Mathematical Finance. Part VII.? A detailed description of the material discussed and further references is here

Suggested exercises are: [?] 12.7, 12.9, 12.12, 12.14, 12.16?

24.05.2005GdN? Math. Building B63? Exercise session. ? Example on the solution of a stochastic control problem. Correction and discussion in class on selected exercises. ?
25.05.2005GdN? ? ? To be settled with the class.?
26.05.2005GdN? ? ? To be settled with the class.?
07.06.2005? ? ? FINAL EXAM 4710

It is an oral examination. Theoretical questions and the solution of an exercise will be asked.

Sensor: Prof. Jan Ub?e (NHH, Bergen) ?

Publisert 8. des. 2004 11:43 - Sist endret 7. feb. 2020 16:12
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