MAT9750 – Mathematical Finance: Modelling and Risk Management
Course description
Course content
MAT9750 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 modelling in finance, also with aspects towards insurance
- have an overview of problems connected to risk evaluation and management in finance
- have a knowledge of stochastic methods for jump processes
- know how to use techniques in stochastic analysis to financial modelling, pricing of options, hedging and risk measuring.
Admission to the course
PhD candidates from the Faculty of Mathematics and Natural Sciences at the University of Oslo should apply for classes and register for examinations through Studentweb.
If a course has limited intake capacity, priority will be given to PhD candidates who follow an individual education plan where this particular course is included. Some national researchers’ schools may have specific rules for ranking applicants for courses with limited intake capacity.
PhD candidates who have been admitted to another higher education institution must apply for a position as a visiting student within a given deadline.