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The exam in STK-MAT 3700 \ 4700 this year will require you to write the exam in so-called digital sketches. This means the following for you as a student:
The exam is formally a digital exam and will take place in Silurveien.
You will not be given the exam questions in print; it will be available in Inspera on the computer assigned to you in Silurveien.
You must answer all questions on paper using a ballpoint pen. These sheets are not copy paper (?gjennomslagsark?).
You must write a unique code on each sheet that is linked to each question, in addition to the usual information: date, course code, candidate number, question number and sheet number. The unique question code can be found in Inspera and must be written on all sheets before the end of the exam time. Note that no extra time is given for this.
When the exam is finished, click "Submit now" in Inspera and then hand in the physical sheets in the order they sho...
Dear students,
The exam is listed as digital because an exam with digital hand drawings uses Inspera and is therefore technically a digital exam. The format that was considered is exactly the one that will be used.
A PDF with the tasks will be attached in the test in Inspera, and you will view the problems on the computer. However, you will write your answers by hand using a pen on the paper that is handed out during the exam. This paper contains special machine-readable codes that will be used for scanning your answers.
Dear students,
The trial exam for STK-MAT3700/4700 is now available.
You can find the full set of problems, formatted in the same style as the official exam, at the following location:
→ Trial Exam: STK-MAT3700/4700?
? strongly encourage you to look through the exercises and attempt them under exam-like conditions. The topics covered in the trial exam reflect the structure and level of difficulty you may expect on the actual examination.
If you have any questions regarding the material, please feel free to contact me.
Good luck with your preparation!
1. Arlie O. Petters & Xiaoying Dong " An Introduction to Mathematical Finance with Applications"
Section 2.10, Sections 3.1- 3.3
Sections 4.11, 4.13, Subsection 4.2.5, Sections 6.1, 6.5?
Sections 7.2, 7.3, Sections 8.5.1, 8.5.2, 8.5.3, 8.8.3
2. Stanley R. Pliska? "Introduction to Mathematical Finance: Discrete Time Models"
Section 1: pp. 1–28
Section 2: Subsections 2.1–2.2
Section 3: Subsections 3.1–3.5
In the attached file (here) you will find notes on the risk-neutral computational approach to portfolio optimization. The example with two assets is explained step-by-step, including how to derive the optimal terminal wealth and determine the trading strategy that generates it. The calculations of the Lagrange multiplier and the resulting optimal utility are also provided.
Please review this material carefully
Please read from Pliska:
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§4.4 Complete and Incomplete Markets
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Chapter 5: §5.1 Optimal Portfolios and Dynamic Programming and §5.2 Optimal Portfolios and Martingale Methods
It’s helpful to note key definitions (marketability, market completeness, risk-neutral measure) and skim examples/exercises.
This week (13-15 October), we will review the main statements related to conditional expectation, solve several exercises, and introduce the concepts of arbitrage opportunities in a multi-period financial market and risk-neutral probability.
You can now find the materials on bonds and stocks in the “Schedule” (on October 6).
There will be no class on Wednesday, October 1. The next lecture will take place on Monday, October 6, as scheduled.
Solutions to exercises from September 10 are now to be found in the "Schedule" (on that date)
There are exercises posted for one-period option pricing, see "Schedule" Monday September 15.
Here is the mandatory assignment. It will soon also appear in Canvas.
Note 1: It must be handed in in Canvas
Note 2: It must be passed before you are admitted to the final exam
Note 3: There is no second chance.....only one attempt. In order to pass, you must provide a decent answer to ALL exercises!
Pleas see the "Schedule" on September 10 for a new set of exercises.
Please check out the "Schedule" on September 1 and 3 for suggested solutions to last week's exercises.
There are new exercises posted, see Schedule on Wednesday Sept 3!
Here you can find 5 data series of daily stock prices. These data are for the exercises and the mandatory assignment.
The lectures will be based on the book by Petters and Dong: An Introduction to Mathematical Finance with Applications (see syllabus-link). We refer to this book in the "Schedule" and in lectures.
You are all welcome to this year's edition of STK-MAT3700!
The first lecture is on Wednesday August 20 (Monday's lecture is cancelled!).