First lecture
The lecture on Monday January 13 is cancelled and we start on Thursday January 16, 10.15.12 in B70. We shall try to change the time schedule so that all teaching takes place on the same day.
Exams for the obligs are now available as Examoblig1, Examoblig3 and so on.
1. Response to query: No report is required, only a power point presentation submitted and later presented orally.
2. The problems will be available on the web from the morning, Thursday May 29.
The room schedule is a bit complicated due to scracity of rooms; see "room schedule" on the web and also "time schedule" for the time plan.
The remaining exercises will be discussed on May 12 and 15 which terminate the teaching.
After the oblig presentation the summary of the course of the course will be completed. The remaining exercises are discussed on May 8 and May 12.
There are two remaining obligs on May 5 and 8. Exercises on these datea and on May 12 will be 15.6.4-8 and 13.5.1-10. The latter group apply to the Wilkie model of financial risk which will be repeated as part of the presentation. A program for wilkie-simulations is found among the R-programs.
Lecture providing a summary of the the course; see also "Pensumliste" defining material the students are supposed to know something about.
April 7: Presentation of Oblig 4A, then finish the lecture on "Assets and Libailities".
April 10: Presentation Oblig 4B.
Day for exam: Monday June 2.
The exam is a mixture of a home exam over two days and an oral one in the pensum. The home exam is individual and adapted the oblig for each studentl. Programs written for the oblig may be of use. The student will give a presentation of the home exam lasting 20 -25 minutes and will be asked questions afterwards on other issues from the course.
The home exam problems can be downloaded from the home page Thursday May 29 at 14.00.
Mars 31: Lectures on "Assets and Liabilities" in "Integrating risk of different origin."
April 4: Oblig 4 is moved to April 7. On April 4 we discuss the Exercises 15.3.1,2, 15.4.1,2, 15.5.6,7,8,9. The R-function equityint can be downloaded from the home page.
Mars 31: Lectures on "Assets and Liabilities" in "Integrating risk of different origin."
April 4: Oblig 4 is moved to April 7. On April 4 we discuss the Exercises 15.3.1,2, 15.4.1,2, 15.5.6,7,8,9. The R-function equityint can be downloaded from the home page.
Mars 24: lectures on "Simulating assets portfolios".
Mars 27: Oblig 3 presentation plus Exercises 15.3.1,2 and 15.4.1,2. vasicekP function can be downloaded.
Mars 17: Complete the intrdocution of interest rate derivatives.
Mars 20: Exercises 15.2.5,6,7,8,9
A new version of the program "onetimeprem" has now been made available as the old one apparently didn't work. This one has been tested immediarely before being put out. You need to introduce into R both R-functions stored on the file.
The program that computes onetime premia in life insurance is now available from the web page
Mars 10: How options are built into programs simulating financial risk (Section 4 in "Integrating risk from many sources).
Mars 10: Presentation Oblig 1. Then Exercises 15.2,5,6,7.
Mars 3: Lectures on discounting (Section 3 in "Integrating risk from different sources") and option simulations (Section 4).
Mars 6: Exercises 13.4.7,8,9,10, 15.1.3.4
Monday 24: Continue lecturing on dynamic mortality modelling and move on to different discounting regimes if time permits
Thursday 27: Exercises 13.3.1,2, 5, 13.4.1,2,4,7,8.
February 10: Lectures on the Wilkie model and on Copulas.
February 13: We drop since it is colliding with the Actuar Focus meeting.
Exercises February 20: Exercises 13.3.1,2,5 and 6.7.2, and 6.7.8 in the Copula note
Februrary 3: Lecturing Sections 4 and 5 in "Stochastic asset models:
February 6: Exercises 7.4.7, 7.5.3, 7.5.4 and 13.3.1-5.
Necessary R-programs are in Rprograms2 and the data from the Oslo stock exchange can be downloaded under the name "Oslo83-2001" from the STK4520 website for 2012