| Dato | Undervises av | Sted | Tema | Kommentarer / ressurser |
| 26.11.2009 | FEB? | Aud 2 VB? | Exam preparation? | We solve the exam from last year, H?ST2008, which you can download from here? |
| 19.11.2009 | No classes? | ? | ? | ? |
| 12.11.2009 | FEB? | Aud 2 VB? | Tutorials? | We discuss the mandatory exercise? |
| 12.11.2009 | FEB? | Aud 2 VB? | Monte Carlo simulations? | We present the Monte Carlo method for options pricing, Sect. 5.1 in Benth. In addition, we give an overview of the course.? |
| 05.11.2009 | No classes? | ? | ? | Please attend the intensive course of Professor Kiesel.....? |
| 29.10.2009 | FEB? | Aud 2 VB? | Markov property and multidimensional claims? | Section 4.6 and 4.7 in Benth (4.5 and 4.6 in Norwegian version)? |
| 29.10.2009 | No tutorials due to mandatory exercise? | ? | ? | ? |
| 22.10.2009 | FEB? | Aud 2 VB? | Pricing and hedging of general derivatives? | Section 4.5 in Benth (4.4 in Norwegian version).? |
| 22.10.2009 | FEB? | Aud 2 VB (14.15-15-00)? | Exercises? | Exercises in pdf?? |
| 15.10.2009 | FEB? | Aud 2 VB? | Girsanov's Theorem? | We prove Girsanov's Theorem, sect 8.6 in ?ksendal, with applications in Sect 4.4 (B) (4.3 in Norwegian version)? |
| 15.10.2009 | FEB? | Aud 2 VB (14.15-15.00)? | Exercises? | Exercises in pdf? |
| 08.10.2009 | FEB? | Aud 2, VB? | Martingales? | Section 3.2 and 4.3 in ?ksendal? |
| 08.10.2009 | FEB? | Aud 2, VB (14.15-15.00)? | Exercises? | Exercises in pdf?? |
| 01.10.2009 | FEB? | Aud 2, VB? | Exercises (14.15-15.00)? | Exercises in pdf?? |
| 01.10.2009 | FEB? | Aud 2, VB? | Black & Scholes and martingales? | We derive the Black & Scholes formula for option prices, sects. 4.3.3 and 4.3.4 in Benth (Sect 4.3 in Norwegian version). Next, we introduce some theory related to martingales (Sect 3.2 in ?ksendal) ? |
| 24.09.2009 | NO TEACHING? | ? | ? | ? |
| 17.09.2009 | FEB? | Aud 2, VB? | Hedging and pricing of options (12.15-14.00)? | Sections 4.2+4.3 in Benth. Please read Sect. 4.1 yourself to repeat theory from MAT2700.? |
| 17.09.2009 | FEB? | Aud 2, VB? | Exercises (14.15-16.00)? | Exercises in pdf from last weekExercises in pdf? |
| 10.09.2009 | FEB? | Aud 2, VB (14.15-16.00)? | Ito's Formula? | We present the Ito Formula, the stochastic chain rule. Sect. 3.3 in ?ksendal. NOTE THE TIME OF THE LECTURE!? |
| 10.09.2009 | FEB? | Aud 2 VB? | Exercises (14.15-15.00) CANCELLED, and postponed!!!!!? | Exercises in pdf? |
| 03.09.2009 | FEB? | Aud 2, VB? | Ito integration? | We define the Ito integral, Sects. 3.1 and 3.2 in ?ksendal.? |
| 03.09.2009 | FEB? | Aud 2, VB? | Exercises (14.15-15.00)? | Exercises in pdf? |
| 27.08.2009 | FEB? | Aud 2, VB? | Statistics of financial data? | We analyse geometric Brownian motion in light of financial data. Ch. 2 in Benth? |
| 27.08.2009 | FEB? | Aud 2, VB? | Exercises (14.15-15.00)? | Exercises in pdf? |
| 20.08.2006 | Fred Espen Benth (FEB)? | Aud 2, VB? | Overview of the course and Brownian motion ? | We start the lectures with giving an overview of the basic ideas in the arbitrage pricing theory (Ch 1 in Benth). Then we move on with introducing the basic stochastic process, Brownian motion, and the necessary theory behind this (Ch. 2.1 and 2.2 in ?ksendal).Note that we will have lectures from 12.15-16.00!? |
Undervisningsplan
Published Aug. 12, 2009 3:44 PM
- Last modified Nov. 11, 2009 11:50 AM