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As announced earlier, it is now confirmed that the exam is held orally by Zoom on Thursday May 14th. You will receive call for an appointment in the zoom virtual room.

The exam will be organised in 2 parts.

The first one is a prepared presentation on a given topic (out of the program) you will receive by email. This part will be held by shared screen in Zoom.

The second part consists of questions. For this we suggest that you connect your smart phone or camera to the computer so that we share and can see what you write on paper.

Take contact for any question.

Please follow the schedule to see when the classes will take place. Invitations to the virtual room will be sent out to the by-now-consolidated list of attendees.

If you are interested in participating and have not received the invitation, please send an email to the lecturer up to 10 minutes before classes start. 

On April 21st at 10:15 we shall have our classes held virtually by Zoom. Invitation and details on how to reach the classroom are sent out by email to the participants of this course.

If you are following the course, but you are not officially registered, you can very well still continue to participate to the course. Just send me an email. 

For the topics, follow the schedule!

On April 15th at 10:15 we shall have our classes held virtually by Zoom. Invitation and details on how to reach the classroom are sent out by email to the participants of this course.

If you are following the course, but you are not officially registered, you can very well still continue to participate to the course. Just send me an email. 

For the topics, follow the schedule!

The exam is oral, that means that we keep the usual examination form for this course, and it will be run using Zoom. The other novelty is that the grades will be in the form pass/fail. As usual, more detailed information will be given when we come closer to the exam date (still to be fixed at this moment).

For master students MAT4740, the limit for passing will be 40% (like E at the regular exam).

For PhD students MAT9740, the evaluation for passing is kept as usual (like B in the regular exam).

On April 1st at 13:15 we shall have our classes held virtually by Zoom. Invitation and details on how to reach the classroom are sent out by email to the participants of this course.

If you are following the course, but you are not officially registered, you can very well still continue to participate to the course. Just send me an email. 

For the topics, follow the schedule!

On Tuesday 31st at 10:15 we shall have our classes held virtually by Zoom. Invitation and details on how to reach the classroom are sent out by email to the participants of this course.

If you are following the course, but you are not officially registered, you can very well still continue to participate to the course. Just send me an email. 

For the topics, follow the schedule!

On Tuesday 24th at 10:15 we shall have our classes held virtually by Zoom. Invitation and details on how to reach the classroom are sent out by email to the participants of this course.

If you are following the course, but you are not officially registered, you can very well still continue to participate to the course. Just send me an email. 

For the topics, follow the schedule!

Fra i morgen, torsdag 12. mars, gis det ikke klasseromsundervisning i emnet.  

Det blir lagt til rette for et utvidet digitalt undervisningstilbud i emnet.  Mer informasjon om dette vil bli lagt ut p? semestersiden senest 23. mars.

Informasjon om eksamensavvikling kommer senere.

From tomorrow, Thursday March 12, there will be no classes/lectures in this topic.

There will be a digital teaching offered, more information about this will follow on these pages latest March 23. 

Information about the exam will come later.

Student representatives for the course: Niklas Maltzahn, Dennis Schroers, and Anton Yurchenko-Tytarenko.

There will be no classes in weeks 8 and 9. Self-study on assigned topics for presentations. Material discussed in class:

• Malliavin derivative and conditional expectations; the fundamental theorem
• Chain rules
• CHO formula, also under change of measure

On Wednesday January 15th there will be no classes, but a workshop "A first bite of STORM". If interested, you find the program here.

On Tuesday January 21st classes will be held 9:15-12, same seminar room. Mark the starting time!

In this course we shall study some techniques of stochastic integration beyond the Ito calculus, or the so called non-anticipating integration. Here "anticipating" and "non-anticipating" is referred to the information flow. We shall also introduce the concept of stochastic derivative. 

These concepts and the calculus associated constitute a baggage of tools that has turned out to be powerful both in the development of stochastic theory, mathematical statistics, and also directly in applications. The applications we are focusing on are related to financial modelling and control.

This course introducing the Malliavin calculus both for Brownian motion and for Levy processes. The necessary introduction to Levy processes will be given in class.

Details about the lectures will be posted under the section "Schedule".

Standard reference for this course is the book:...