Beskjeder

Publisert 26. mai 2025 14:01

The exam schedule for next week June2-4, is sent out via email.

If you have not received it, then please contact me quickly! All the best!

Publisert 21. mai 2025 15:09

Material in Leganto updated. Some specifications:

05: some small corrections

11: added as detailed extended on change of measures following 10

12: added as summary extended intro to help out on the next section on hedging, which has now new progressive numbering.

13-15: no changes, only updated numbering to keep the progression.

Publisert 21. mai 2025 00:25

Last update is finally worked out. You find the notes and reference list in Leganto. Information on the exam in the Timetable, as well as here.

Also open office on Wednesday 22nd: 12:30-14:00

Publisert 27. apr. 2025 21:49

We shall have a PhD presentation in connection with MAT9735 on April 28, after the usual classes and in the same room (NHA 107). Topic is on the pricing of Asian options.

Publisert 23. mars 2025 12:41

The exams dates are set in the period 2-4 of June. Possibly only in 2 days. The exams will be held in oral form. All details will be finalised and communicated in due time.

Publisert 19. mars 2025 22:44

Here comes the assignment for this course. The deadline is April 10.

The delivery is in Canvas!

Publisert 17. feb. 2025 12:06

The course schedule is updated, you should now be able to read the material. Exercises are suggested in the Summary sheets.

Publisert 17. feb. 2025 12:05

Our representatives are

Fruna Alami: frunaa"at"uio.no

and

Morten T. Berg: mortet"at"uio.no

 

Publisert 29. jan. 2025 01:34

Please note that in Leganto you find the notes of the lectures together with the reference books. 

Publisert 27. jan. 2025 13:58
Publisert 3. jan. 2025 22:40

Welcome! 

We shall discuss classical and not so classical models in stock exchanges, bond markets, and electricity markets in continuous time. We connect prices with prices of financial derivatives, such as options within the principle of no-arbitrage. We shall discuss methods for pricing based on risk-neutral evaluation and see the differences between, e.g, a stock exchange market and a flow commodity market as electricity is. We will discover the role of volatility modelling and how spikes in prices can be treated. All this to be able to deal with financial risks!

To warm up on the complex affairs, you can take a look at the movie "Margin Call" (2011)! What does margin call mean?