MAT9750 – Mathematical Finance: Modelling and Risk Management
Course description
Schedule, syllabus and examination date
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.
Recommended previous knowledge
Overlapping courses
- 10 credits overlap with MAT4750 – Mathematical Finance: Modelling and Risk Management.
- 4 credits overlap with MAT9700 – Stochastic analysis I (discontinued).
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.
In addition, each PhD candidate will present on a scientific level a short thesis on a chosen topic from the course, selected in collaboration with the lecturer.
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: MAT4750 – Mathematical Finance: Modelling and Risk Management
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 pass/fail scale. 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.