Messages - Page 2
I have updated the lecture notes and fixed Example 6.4. I have also uploaded the R-code used and some suggested solutions for Exercise List 5 and 6. I have also uploaded the digital lectures.
Homework: Continue reading Section 7 and try some exercises from List 5 and 6 if you have not (try without looking at the solution first). Do not forget the assignment either.
I have updated the lecture notes. The new version includes a new section, Section 7. This section is a review on integration theory of stochastic processes. The main point is that you learn (or refresh) how a stochastic integral is defined, some of its properties and how operate with them (It? formula). Read Section 7 thoroughly and make sure you understand everything, if not, ask! I have also uploaded two new lists of exercises. Exercise List 5 and 6. Finally, I have uploaded some solutions of List 4 and the R codes used in the lecture.
Homework: Read Section 7 and try some exercises from List 5 and 6. Do not forget the assignment either.
I have updated the lecture notes. The new version includes a new section, Section 6, with two examples using on Thiele's differential equation (in continuous time) and a proposed exercise. Read Section 6 thoroughly and make sure you understand everything, if not, ask! I have also updated a new list of exercises. Exercise List 4 with discrete time setting and the last exercise 4.5 is a continuous time pricing of bonds (with stochastic interest rate). Exercise 4.5 is a bit disconnected from the theory seen so far, but we will need it later on.
Homework: Read Section 6 and try some exercise from List 4. Using Thiele's difference equation it should be quick! Do not forget the assignment either.
- The upcoming seminar in the STAR series (series of seminars in our Section 3) is held by Emil Framn?s, Global Head of Trading Norges Bank Investment Management. Emil is an Alumni of our Master in Finance, Insurance and Risk. He is holding a presentation on equity trading open to all Master students and he will present some initiatives of NBIM. For details on the event and how to receive the zoom link, please click here.
There is a summer internship possibility for our math finance/energy students, please see PROJECT 4
/english/research/strategic-research-areas/uio-energy/news-and-events...
The assignment is available. You can download it here or by going to "Assignment" in the menu to the left. Remember the deadline: 26th of April, 2021 at 2:00 pm (the assignment must be delivered in Canvas, click here to access Canvas). Canvas will only be used for handing in the assignment.
I have updated the lecture notes. The new version includes Section 5 on Thiele's differential equation (in continuous time) and difference equation (in discrete time). Read Section 5, specially Theorem 5.4, you can drop Section 5.3.
Homework: Read Section 5 (drop 5.3 if you want) and solve Exercise 15 from the lecture notes. Solve one exercise from List 3, or the assignment.
As promised, I have uploaded an updated version of the lecture notes with the topics we covered during last lecture and the topics I plan to cover in the next lecture (I am very optimistic!). Next lecture: I will explain Sections 4.2 and 4.3 and the Example 4.30 in detail.
Homework: Read Sections 4.2 and 4.3 and the Example 4.30. Check the R-codes and play with them. Check also the solutions of the second list of exercises.
Good news: no exercise list this week!
Student representatives for this course: Vegard Enerstvedt vegarene (at) math.uio.no and Erik Martínez Jensen erimart (at) math.uio.no
Meeting ID - 627 8026 3110
Password: 403606
Direct link: https://uio.zoom.us/j/62780263110?pwd=cUdFaSszS3BDQllKSlNGUm90NXgwdz09
Ernst & Young is looking for actuaries next fall. They will offer a digital seminar to introduce their group on the 28th of January. You can find the event following this link.
Message in Norwegian:
Avdelingen v?r ‘Financial Services Organization’ er i vekst og vi er i prosess med ? ta inn nye med aktuar/kvantitativ bakgrunn til fulltidsstillinger med oppstart til h?sten. Vi tilbyr ogs? en deltidsstilling for 4. ?rs studenter. Vi ?nsker ? profilere oss mot UiO og holder en nettbasert bedriftspresentasjon torsdag 28. januar. Link til arrangementet her.
I have uploaded the lecture blackboard from today and updated the lecture notes. I have also uploaded the second list of exercises, solutions for the first list and the R-code I used in the lecture today. We continue next week digitally! (apparently prevention measures are extended). I really hope that we will not have any technical problems, thanks for your patience and I'm happy we improvised a solution today and you didn't leave :) Thank you!
Recommended homework for next week: read the lecture notes and solve some of the posed exercises there, or from Exercise List 2 (May I suggest Exercise 1, which is very important for people aiming at the industry. Exercise 2.3 we haven't learnt about yet). Program (or look at) Taylor's or RK4 method and keep this code for later use.
English was chosen as the teaching language for this semester. The deadline for the assignment was chosen to be: 26th of April, 2021 at 2:00 pm (the assignment will be uploaded "soon" and it must be delivered in Canvas, click here to access Canvas). Canvas will only be used for handing in the assignment.
I have uploaded the lecture blackboard from today, the "official" lecture notes I followed today, the first list of exercises and the R-code I used in the lecture.
Recommended homework for next week: read the lecture notes and solve some of the posed exercises there, or from Exercise List 1. Program Euler's method and keep this code for later use.
Extra exercise (if time): For the case of two states: alive/dead. Solve Kolmogorov equation&n...
Join Zoom Meeting
https://uio.zoom.us/j/8207057964
Meeting ID: 820 705 7964
Password: Subject code (with capital letters)
As you probably know, the Government of Norway has introduced new infection prevention measures, see this link for more information. In particular:
All teaching and planned events at universities, university colleges and vocational training schools will take place digitally until 18 January.
Since our lectures are on Mondays, this means that our first two lectures will be fully digital. The plan is as follows:
We will use the software Zoom for the lectures, which will be offered live. The first lecture is on Monday 11th of January at 12:15 on Zoom. Click here for more information on how to download and install Zoom. The ...
Time and place: Our first lecture will take place on the 11th of January at 12:15 pm in "Auditorium 2" in Vilhelm Bjernes' hus (the building next to the Department of Mathematics).
The language of the course will be English unless everybody understands Norwegian, in such case it will be Norwegian. In any case, you may hand in your assignments and exam in English or any other Scandinavian language.
Literature: We will use the following supporting books for this course:
1. Michael Koller: Stochastic Models in Life Insurance. Springer (2012).
As supplementary book we may use:
2. Thomas M?ller, Mogens Steffensen: Market-Valuation Methods in Life and Pension Insurance. Cambridge University Press (2007).
Syllabus: ...