|
||||||||||||||
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) . 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
Postal address:
P.O.box 1053, Blindern
NO-0316 Oslo
Visiting hours:
Monday-friday 09:00-14:30
Get in touch with the University of Oslo