MAT4730 - Autumn 2008

Undervisningsplan

DatoUndervises avStedTemaKommentarer / ressurser
06.11.2008GdN? Rom 534 Niels Henrik Abels hus? Optimal consumption and investemet schemes in constraint markets? Example and correction of the exercises.

N.B. Usual hours + an (optional) additional hour to conclude the topic and the course.?

04.11.2008GdN? Rom 534 Niels Henrik Abels hus? Optimal consumption and investemet schemes in constraint markets? Ref. [KS] Section 6.2, 6.3 (elements of -)

Suggested exercises, see here?

30.10.2008? ? ? No classes?
28.10.2008Bernt ?ksendal? Rom 534 Niels Henrik Abels hus? ? Exercise session.?
23.10.2008GdN? Rom 534 Niels Henrik Abels hus? Contingent claims in incomplete markets? Ref: [KS] Section 5.6 completion.

Suggested exercises, see here?

21.10.2008GdN? Rom 534 Niels Henrik Abels hus? Contingent claims in incomplete markets? Ref: [KS] Section 5.6?
16.10.2008GdN? Rom 534 Niels Henrik Abels hus? Contingent claims in incomplete markets? Ref: [KS] Section 5.5?
14.10.2008GdN? Rom 534 Niels Henrik Abels hus? Contingent claims in incomplete markets? Market with constraints. Ref: [KS] Section 5.2, 5.3, 5.4?
09.10.2008GdN ? Rom 534 Niels Henrik Abels hus? ? Exercise session: correction of exercise 8, 9.?
07.10.2008GdN? Rom 534 Niels Henrik Abels hus ? Equilibrium in a complete market? Ref: [KS] Section 4.6. Uniqueness of equilibrium: meaning and results

Suggested exercises, see here?

02.10.2008GdN? Rom 534 Niels Henrik Abels hus ? Equilibrium in a complete market ? Ref: [KS] Section 4.6. Existence of equilibrium. Extension of the Ito and Tanaka formulae?
30.09.2008GdN? Rom 534 Niels Henrik Abels hus ? Equilibrium in a complete market ? Ref: [KS] Section 4.5 Representative agent's utility function and characterization of the equilibrium.?
25.09.2008? ? ? No classes?
23.09.2008Bernt ?ksendal? Rom 534 Niels Henrik Abels hus? ? Exercise session. Correction of Exercises 6, 7 and part of 8.?
18.09.2008GdN? ? ? Intensive course in Credit Modeling and Derivatives. See www.cma.uio.no?
16.09.2008GdN? Rom 534 Niels Henrik Abels hus? Equilibrium in a complete market? Ref: [KS] Sections 4.5

Suggested exercises, see here?

11.09.2008GdN? Rom 534 Niels Henrik Abels hus? Equilibrium in a complete market? Ref: [KS] Sections 4.4?
09.09.2008GdN? Rom 534 Niels Henrik Abels hus? Equilibrium in a complete market? Ref: [KS] Sections 4.2, 4.3?
04.09.2008GdN? Rom 534 Niels Henrik Abels hus? Optimal consumption and investment scheme? Correction and discussion on the suggested exercises.

More exercises, see here?

02.09.2008GdN? Rom 534 Niels Henrik Abels hus? Optimal consumption and investment scheme? Completion of the topic. Examples.

Ref: [KS] Sections 3.6, 3.7.?

28.08.2008GdN? Rom 534 Niels Henrik Abels hus? Optimal consumption and investment scheme? Study of the problem as an optimization problem with constraint. Solution of the problem with application of the Lagrange multipliers method.

Ref: [KS] Sections 3.5, 3.6.

Suggested exercises are here?

26.08.2008GdN? Rom 534 Niels Henrik Abels hus? Utility funtions and optimization problem?
  • Completion of the proof of last result

  • Utility functions

  • Formalization of the problem: consumption and investment

Ref: [KS] Sections 3.4, 3.5?

21.08.2008GdN? Rom 534 Niels Henrik Abels hus ? Optimal consumption and investment scheme ? Continuation of the topics.

Suggested exercises are here?

19.08.2008Giulia Di Nunno? Rom 534 Niels Henrik Abels hus? The course. Single-agent consumption and investment? Welcome to the course!

  • Some information about the course.

  • Beginning of the program: Single-agent consumption and investment

Ref: [KS] Sections 3.2, 3.3?

Published Aug. 14, 2008 2:47 PM - Last modified Nov. 4, 2008 3:56 PM
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