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Optimal consumption and portfolio. Equilibrium in complete markets. Hedging and pricing in incomplete markets.
The course gives the students a rigorous introduction to the modern theory of (advanced) mathematical finance (in continuous time).
To participate in this course you must have an admission to a Ph.D.-programme at a Norwegian University or University College.
If you do not have an admission to the Ph.D.-Programme in Science at The Faculty of Mathematics and Natural Sciences at UiO, you have to apply for hospitantstatus (norwegian text) . Deadlines for applying are the 1st of February for courses in the Spring semester and the 1st of September for courses in the Autumn semester. For more information, please contact the Department.
None.
MAT4710 - Stochastic analysis II.
5 credits with MA 404.
10 credits with MAT473.
*The information about overlaps is not complete. Contact the Department for more information if necessary.
3 hours of lectures/exercises per week.
Oral exam.
Students are awarded either a passing or failing grade. The pass/fail scale is applied as an independent scale with only two possible results.
Visiting address:
Niels Henrik Abel's building, Moltke Moes vei
35
Postal address:
P.O.box 1053, Blindern
NO-0316 Oslo
Visiting hours:
Monday-friday 09:00-14:30
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