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You can read some guidelines to the oral exam in the attachment here.
You find the assignment here.
Deadline for delivery is May 4th, 2023. The delivery is on Canvas.
This course will be completed by an oral exam. Depending on the number of participants, the exam will be held in one day on June 1st. Further details will follow in due time.
This week we have a mini course of 10 hours on signature methods for finance. It is intended for all those interested in computational methods for finance (level master students and upper).
More info here
On this occasion, no ordinary classes are held on Thursday 30.
The "Schedule" is updated with Notes and some other material (e.g. some exercises with solutions in the continuous case, summary on convergences, conditional expectation, stochastic differential equations, solution to linear SDEs in the continuous case). Look at the topic and check the material according to date progression.
This year students' representatives for the course are:
Thomas Céré - tomasce [at] uio.no
August Fosse - augustfo [at] uio.no
The course presents market modelling with price dynamics given by jump-diffusions. Here the jump-diffusions considered are particular linear stochastic differential equations driven by both Brownian motion and a centred Poisson random measure. These dynamics include the classical linear stochastic differential equation driven by Brownian motion and, in particular, the Black-Scholes model..... You can read the syllabus in Leganto to have a proper description.
As per the first class, we start on Monday, 23rd January.
If you wonder what is the added value of coming to classes, well, well. Let me say that this is a fairly specialised course in financial modelling and in stochastic analysis. During lectures, you will hear how the mathematical theory merges with the modelling problems. What are the pro ad the cons, the needed assumptions from the applied needs and the technical ones, you will find comments on some critical aspects of the theory. A...