MAT4730 - Autumn 2009

Teaching plan

DateTeacherPlaceTopicLecture notes / comments
11.11.2009JL? Sem. rom B62 Niels Henrik Abels hus ? ? Exercise session?
04.11.2009JL? Sem. rom B62 Niels Henrik Abels hus ? Constrained consumption and investment ? Closing of the topic

Ref. [KS] Section 6.3

Suggested exercises: here?

29.10.2009JL? Sem. rom B62 Niels Henrik Abels hus? Constrained consumption and investment? Introduction

Family of auxiliary markets

Ref. [KS] Section 6.2-6.3?

28.10.2009JL? Sem. rom B62 Niels Henrik Abels hus? ? Exercise session?
22.10.2009JL? Sem. rom B62 Niels Henrik Abels hus? Contingent claims in incomplete markets? Upper hedging with constant coefficients

Ref. [KS] Section 5.7

Suggested exercise: here?

21.10.2009JL? Sem. rom B62 Niels Henrik Abels hus? Contingent claims in incomplete markets ? Proof of the main hedging result

Ref. [KS] Section 5.6?

15.10.2009JL? Sem. rom B62 Niels Henrik Abels hus? Contingent claims in incomplete markets ? The main hedging result

Ref. [KS] Section 5.6?

14.10.2009JL ? Sem. rom B62 Niels Henrik Abels hus ? Contingent claims in incomplete markets? Upper hedging price

Some preliminaries from convex analysis

A family of auxiliary markets

Ref. [KS] Section 5.3-5.5?

08.10.2009JL? Sem. rom B62 Niels Henrik Abels hus? ? Exercise session (the two remaining exercises)?
07.10.2009JL? Sem. rom B62 Niels Henrik Abels hus? Contingent claims in incomplete markets? Closing the equilibrium part.

Contingent claims in incomplete markets.

Ref. [KS] Section 5.2.-5.4.?

01.10.2009Jukka Lempa? Sem. rom B62 Niels Henrik Abels hus ? Equilibrium in a complete market ? Uniqueness of an equilibrium.

Ref: [KS] Section 4.6?

30.09.2009GdN? Sem. rom B62 Niels Henrik Abels hus ? Equilibrium in a complete market? Existence and uniqueness of an equilibrium.

Ref: [KS] Section 4.6

Suggested exerceses are here?

24.09.2009GdN? Sem. rom B62 Niels Henrik Abels hus ? Equilibrium in a complete market? The representative agent.

Ref: [KS] Section 4.5

Exercise session for 1 hour.?

23.09.2009GdN ? Sem. rom B62 Niels Henrik Abels hus ? Equilibrium in a complete market? Definition of equilibrium and characterization theorem

Ref: [KS] Section 4.5?

17.09.2009GdN + Jukka Lempa? Sem. rom B62 Niels Henrik Abels hus ? Equilibrium in a complete market? Exercise session.

Conclusion on the individual optimization problem.?

16.09.2009GdN? Sem. rom B62 Niels Henrik Abels hus ? Equilibrium in a complete market? The optimization problem that each agent is facing.

Ref: [KS] Section 4.4

Suggested exerceses are here

?

10.09.2009GdN? Sem. rom B62 Niels Henrik Abels hus ? Equilibrium in a complete market? Introduction to the topic and basic definititions.

Ref: [KS] Sections 4.2, 4.3 ?

09.09.2009GdN? Sem. rom B62 Niels Henrik Abels hus ? Optimal consumption and investemet schemes in constraint markets? Completion of the topic with some examples.

Ref: selections from [KS] Sections 3.6, 3.7.

Suggested exerceses are here?

03.09.2009GdN ? Sem. rom B62 Niels Henrik Abels hus ? ? Exercise session?
02.09.2009GdN? Sem. rom B62 Niels Henrik Abels hus ? Optimal consumption and investemet schemes in constraint markets? Continuation on Section 3.5?
27.08.2009GdN? Sem. rom B62 Niels Henrik Abels hus ? Utility funtions and optimization problem? Ref: [KS] Sections 3.4, 3.5 ?
26.08.2009GdN? Sem. rom B62 Niels Henrik Abels hus ? Consumption and Portfolio processes? Continuation on previous sections.

Suggested exercises are here

As addition: Proof of the Local-martingale representation theorem.?

20.08.2009GdN? Sem. rom B62 Niels Henrik Abels hus ? Optimal consumption and investment scheme ? Continuation on previous sections.?
19.08.2009Giulia diNunno? Sem. rom B62 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. 12, 2009 12:16 PM - Last modified Nov. 5, 2009 11:05 AM
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