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Popular interest rate models for bond markets. Statistical analysis and calibration of interest rate models. Generalized models for the term structure of interest rates described by stochastic partial differential equations or stochastic evolution equations. The course is relevant for master/bachelor students in mathematical finance and insurance mathematics.
The course gives a rigorous introduction to (advanced) interest rate modelling in finance and insurance.
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.
Only students admitted to the course may take part in instruction and tuition and sit for the examination.
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.
The courses MAT2700 - Introduction to mathematical finance and investment theory and MAT4711 - Stochastic analysis II are recommended, but not required. The necessary tools and notions will be introduced in this course.
4 hours lectures/exercises per week
Teaching takes place throughout the semester.
A student who has completed compulsory instruction and coursework and has had these approved, is not entitled to repeat that instruction and coursework. A student who has been admitted to a course, but who has not completed compulsory instruction and coursework or had these approved, is entitled to repeat that instruction and coursework, contingent on available capacity.
Final written or oral exam depending on the number of students. A project can be a part of the final.
Course grades are awarded on a descending scale using alphabetic grades from A to E for passes and F for fail.
An external auditor regularly evaluates the academic quality of the course, including the form of exam used on the course.
A student may appeal against an awarded grade and/or file a formal complaint about exam procedures.
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
A student can sit for this exam up to 3 times. If a student wishes to withdraw from the exam, s/he must do this in StudentWeb at least two weeks prior to the first day of the exam. Failure to do so will be counted as one of the three opportunities to sit for the exam.
Feedback from our students is 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 courses are subject to continuous evaluation. At regular intervals we also ask students on a particular course to participate in a more comprehensive, in-depth evaluation of this course, a so called "periodic evaluation".
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