Messages
Here you find suggested solutions to the trial exam.
I wish you all best of lucks for the exam.
Thank you attending the course, and I hope you wish to continue your studies in finance, insurance and risk.
The curriculum for this version of the course, taught Autumn 2023 is:
- All notes and exercises posted on the "Schedule" of the course, and taught in lectures.
- Markowitz portfolio theory (from the distributed notes and mandatory assignment)
- Know Black & Scholes formula by heart, and the derivation of Black & Scholes formula from binomial tree-models.
- Sections 1.1-1.5: only material on replicating portfolios, risk-neutral probabilities and pricing.
- Sections 3.1, 3.2 (not 3.2.3), 3.3, 3.4 (until but including paragraph right after (3.21) on page 95), 3.5
- Sections 4.1 and 4.2 (in particular result (4.1) on page 113).
When preparing for the exam, emphasise training on the exercises given.
There is a new video out there for our bachelor program in finance, insurance and economics: watch it here.
Hopefully it confirms that you have chosen the right study:-)
The registration for the NBIM-visit is now closed, as we have reached the number of participants that NBIM is able to host.
The solutions of exercise 1b from October 9th is finding the hedging strategy of a digital option that pays 1 if the stock goes twice up (and zero otherwise). In the exercise itself you were asked to consider a digital that pays 1 if the stock goes twice down (and zero otherwise). I ask you to consider both cases of a digital, and calculate the hedging strategies (one case has a solution, then, and one does not have a solution available).
NBIM has the pleasure to invite you to an on-site visit on November 16, from 14.00 to 15.15. The program includes presentations from former UiO-alumnis working at NBIM as well as a visit to the trading floors of equities and fixed-income.
There is a limited number of places, and registration is mandatory (and binding!). Please register here (please state your full name!). You will be notified by email whether you can participate or not (first come first served principle).
NBIM is located at Bankplassen 2 in Oslo. When entering, you need to identify yourself with a valid ID (passport, ID card). We meet up and register at 13.45 (precisely) outside the entrance door.
Due to an unforeseen meeting I need to attend, there will be no lecture on Monday 16. October. Sorry about short notice!
There is a movie on the cinemas now, "Dumb Money", which is about GameStop-story. I have not seen it, but it is definitely worth considering in view of our course:-)
You are all welcome to the information meeting for master studies in finance, insurance, risk and stochastics. Please see the announcement here, where you also register your attendance.
The mandatory assignment for the course is now ready! Please follow the instructions when it comes to delivery of the assignment. Note that there is no second attempt, and you must have the assignment passed to be admitted to the exam. Deadline is October 12th (see precise information on the assignment).
Egil Rolstad is student representative. Please contact him by email egil-03 at hotmail and com
Everyone must know the Black & Scholes formula for call options by heart :-)
"Madoff: The monster of Wall Street" is the story about Bernie Madoff and his investments (of other people's money...). You find it on Netflix.
There are no lectures on 11 and 13 of September. It is advised that you work on the first two exercises which will make up the mandatory assignment: download these two first exercises here.
One of you spotted an error in the lecture notes on Markowitz theory from last week. On page 7, in the expression for gamma, the numerator should be "b-ar", and NOT "b-cr" as it says in the notes. Sorry for the mistake, but kudos to you spotting it!
This book,
https://link.springer.com/book/10.1007/978-3-642-18786-5
gives more details on returns (and log returns). See chapter 2.
(The book should be free to download if you are logged on with your university account)
During lectures on Wednesday 23. August, we talked about the financial crisis in 2007, triggered by house loans in the US. To learn more about this, read the book "The Big Short" by Michael Lewis, or see the movie on Netflix. There is a lot of talk of derivatives in the book and in the movie......
Whether you read the book, watch the movie, or do neither, sort out what the title "The Big Short" means!
You find exact reference to the book by Pliska by clicking on the "Reading list/Syllabus"-link above. Please note that the picture of the front cover of the book in Leganto is in green, while we use the version they have at Akademika with a blue front cover. I do not know where the green color comes from....:-)
We start teaching on Wednesday August 23, at 14.15 in Aud 1 VB. Note that there is no teaching on Monday Aug. 21. Information on lectures and exercise classes will appear in "Schedule".
You are all welcome!