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Oystein's office hour Monday December 4 is cancelled. For any question that needs to be resolved before the exam on Friday, please send an email to oystein.borsum@econ.uio.no to arrange an appointment.
The final seminar will be Monday 27 November, 12.15-13.00 in seminar room 017 in the Harriet Holter building.
The topic for this seminar is a case study of the Value at Risk approach. We will assess the topical question of a change in the equity portion of the Norwegian Government Pension Fund - Global (previously known as the Petroleum Fund). Below are links to relevant documents on the case:National Budget documentsRecommendation from Norges Bank
Questions for the seminar Wednesday 22 November:
On real options: Ex. 31.7 and 31.8 from Hull, plus:
Value a gold mine: Consider a gold mine with an estimated inventory of one million ounces and a capacity output rate of 30,000 ounces per year. The price of gold is expected to grow 3% a year. The firm owns the right to this mine for the next 20 years. The cost of opening the mine is $100 million, and the average production cost is $250 per ounce. Once initiated, the production cost is expected to grow 5% a year. The standard deviation in gold price is 20%, and the current price of gold is $375 per ounce. The riskless rate is 6%.
The term papers can now be picked up from the reception on the 12th floor.
PLEASE NOTE: Clarification: There will be a seminar this week (Wednesday 8 November) where we will go through the term paper exercises.
The term paper is due on November 1st. Hand it in at the reception on the 12th floor. We will go through the solutions to the term paper exercises in the coming seminar, on November 8th.
Exercises for the seminar Wednesday 25 October:
- Chapter 13 (Black-Scholes-Merton model): Pricing new assets (technically somewhat demanding): 13.11 13.12 Volatility: 13.6 13.16
- Chapter 14 (Options on indexes, currencies and futures): 14.7 14.13 14.27 14.28 14.39
Important message!
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Please note: The next seminar is this week, on Wed 11th (not on the 17th, as previously indicated).
Exercises for the seminar Wednesday October 11th:
- Chapter 11 (binomial trees): 11.1 11.2
- Chapter 12 (Wiener processes and Ito's lemma): 12.2 12.5 12.10
- Chapter 13 (Black-Scholes-Merton model): Distributions: 13.1 13.7 13.8 Black-Scholes pricing formula: 13.13 13.14 Pricing new assets: 13.11 13.12 (technically somewhat more demanding) Volatility: 13.6 13.16Instructions: At least try to solve the exercises on beforehand. Volunteers can present on the blackboard, as always.
There will be two lectures Tuesday October 3rd with Paul Ehling. Beginning at 8:15 as normal, and lasting untill 12 o'clock: Aud. 6 Eilert Sundt building.
Exercises for the seminar Wednesday September 27th: 5.3 5.4 5.9 5.12 5.14 5.17 and 5.21, 7.1 7.3 7.5 7.10 7.16 and 7.18. Just as last time, you must be prepared to solve the exercises on the blackboard.
Solutions to the exercises from chapter 10 can be picked up from the blue seminar folder on the 12th floor. I will start the next seminar by going through 9.25. The next seminar will be Wednesday September 27th. Thereafter, seminars will be every two weeks (for a total of six seminars). Exercises for the next seminar will be posted by the end of next week.
Seminar exercises for September 13th: 8.3 8.12 and 8.15, 9.2 9.4 9.7 9.11 and 9.25, 10.4 10.7 10.10 and 10.12
Prepare appropriately for the seminar: You must be prepared to solve the exercises on the blackboard (they are straighforward applications of the textbook). Also, pick up a copy of the text by Edward Chancellor, available from the blue seminar folder on the 12th floor, and skim through it before the seminar. Reading it is quick and easy, and will allow us to have an intelligent discussion in the seminar.
There will be no lecture-free week: There will be a lecture Tuesday October 3rd.
The contact-student is peteroi@student.sv.uio.no
The lectures start in week 35, from Tuesday 29th of August.