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The course will give an introduction to the most important notions and problems in mathematical finance. The theory of arbitrage for pricing and hedging derivatives (options) will be studied in the context of discrete time models. Moreover the course will focus on the theory of investments with special stress given to utility optimization and the Markovit`s theory for optimal portfolio choice.
The students should understand the underlaying principles of modern finance and investments theory. They should be given the mathematical theoretical and practical skills to be used in quantifying the price of financial contracts, in computing the hedging strategies and in making investments choises which balance profit and risk.
Students who are admitted to study programmes or individual courses at UiO must each semester register which courses and exams they wish to sign up for by registering a study plan in StudentWeb.
International applicants, if you are not already enrolled as a student at UiO, please see our information about admission requirements and procedures for international applicants.
In addition to fulfilling the minimum requirements for entrance to higher education in Norway, you must either have 2MX/2MY/3MZ and 3MX/3MY/3FY/3KJ/3BI/(2KJ+3BT)/(2BI+3BT) from Norwegian upper secondary school, or have completed equivalent studies in mathematics as well as physics, or chemistry, or biology at upper secondary school or university level at another educational institution.
MAT1100 - Calculus, MAT1110 - Calculus and linear algebra, MAT1120 - Linear algebra, STK1100 - Probability and statistical modelling, and STK1130 - Modelling by stochastic processes.
5 credits against ECON4515 - Finance Theory 1: Portfolio choice and equilibrium models. 5 credits against ECON4520 - Finance Theory 2: Option theory with applications.
10 credits with MØ105.
*The information about overlaps is not complete. Contact the department for more information if necessary.
Teaching will be given as lectures and seminar exercises during a period of one semester. Compulsory assignments have to be handed in.
One compulsory assignment have to be handed in and approved. Final mark based on written examination at the end of the semester. Letter grading (A-F).
Rules for compulsory assignments at the Department of Mathematics (norwegian only)
Permitted aids at the exam: None.
This subject offers new examination in the beginning of the subsequent term for candidates who withdraw during an ordinary examination or fail an ordinary examination. Deferred examinations for students who due to illness or other valid reason of absence were unable to sit for their final exams will be arranged at the same time. (These valid reasons has to be documented within given deadlines.)
For general information about new and deferred examination, see
http://www.matnat.uio.no/studier/studieinformasjon/eksamen/kontinuasjon.html
Course evaluation
Feedback from our students is an essential to us in our efforts to ensure and further improve the high quality of our programmes and courses. As a student at the University of Oslo you will therefore be asked to participate in various types of evaluation of our courses, facilities and services. All study programmes and courses are subject to continuous evaluation. At regular intervals we also ask students enrolled in a particular programme or course to participate in a more comprehensive, in-depth evaluation of their programme or course. The next evaluation of this course will be carried out during the autumn term of 2005.
Visiting address:
Niels Henrik Abel's building, Moltke Moes vei
Postal address:
P.O.box 1053, Blindern
NO-0316 Oslo
Visiting hours:
Monday-friday 09:00-14:30
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