MAT4750 – Mathematical Finance: Modelling and Risk Management
Course description
Schedule, syllabus and examination date
Course content
MAT4750 gives an introduction to stochastic analysis and calculus for jump processes. The attention is on Levy processes as a flexible class for modelling. The course introduces continuous financial modeling for complete and incomplete markets. We will present techniques needed for risk assessment and management. This includes no-arbitrage theory, pricing of options in complete and incomplete markets. Special attention is paid to the cases of Black-Scholes and exponential Levy models. We will present the hedging problem in both complete and incomplete markets. Special attention is given to the perfect hedging in the Black-Scholes model, in contrast to the imperfect hedging in incomplete markets. We will give an introduction to minimal variance hedging as an example of quadratic hedging. When it comes to risk assessment, the course introduces risk measures, both statically and dynamically.
Learning outcome
After completing the course you will
- have an understanding of mathematical modeling in finance, also with aspects towards insurance
- have an overview of problems connected to risk evaluation and management in finance;
- have knowledge of stochastic methods for jump processes
- know how to use techniques in stochastic analysis to financial modeling, pricing of options, hedging, and risk measuring.
Admission to the course
Students admitted at UiO must?apply for courses?in Studentweb. Students enrolled in other Master's Degree Programmes can, on application, be admitted to the course if this is cleared by their own study programme.
Nordic citizens and applicants residing in the Nordic countries may?apply to take this course as a single course student.
If you are not already enrolled as a student at UiO, please see our information about?admission requirements and procedures for international applicants.
Recommended previous knowledge
Overlapping courses
- 10 credits overlap with MAT9750 – Matematisk finans: modellering og risikostyring.
- 4 credits overlap with MAT4701 – Stochastic analysis with applications (continued).
- 4 credits overlap with STK4510 – Introduction to methods and techniques in financial mathematics (discontinued).
- 4 credits overlap with MA374.
- 4 credits overlap with MAT4700 – Stochastic analysis I (discontinued).
- 4 credits overlap with MAT4710 – Stochastic analysis II (discontinued).
- 4 credits overlap with MAT4711 – Stochastic analysis II (discontinued).
- 4 credits overlap with MAT9700 – Stochastic analysis I (discontinued).
- 4 credits overlap with M?105.
- 4 credits overlap with MAT4735 – Advanced financial modelling.
- 4 credits overlap with MAT9735 – Advanced financial modelling.
Teaching
4 hours of lectures/exercises per week throughout the semester.
The course may be taught in Norwegian if the lecturer and all students at the first lecture agree to it.
Examination
Final written exam or final oral exam, which counts 100 % towards the final grade.
The form of examination will be announced by the lecturer by 1 October/1 March for the autumn semester and the spring semester respectively.
This course has 1 mandatory assignment that must be approved before you can sit the final exam.
It will also be counted as one of the three attempts to sit the exam for this course, if you sit the exam for one of the following courses: MAT9750 – Matematisk finans: modellering og risikostyring
Examination support material
No examination support material is allowed.
Language of examination
Courses 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.
Resit an examination
This course offers both postponed and resit of examination. Read more:
More about examinations at UiO
- Use of sources and citations
- Special exam arrangements due to individual needs
- Withdrawal from an exam
- Illness at exams / postponed exams
- Explanation of grades and appeals
- Resitting an exam
- Cheating/attempted cheating
You will find further guides and resources at the web page on examinations at UiO.