STK4530 – Interest Rate Modelling via SPDE's
Course description
Schedule, syllabus and examination date
Course content
In the first part of the course we will be acquainted with the basic principles of modern interest rates theory. We will discuss popular interest models with special emphasis on statistical data analysis and calibration. In the second part of the course, we will focus on generalized interest rate models, which are described by stochastic partial differential equations or evolutionary equations.
Learning outcome
After completing the course you will
- know and understand mathematical concepts and results from stochastic analysis in infinite-dimensional spaces
- know and understand classical stochastic models for interest rates in connection with bond markets
- learn how to build stochastic models for the dynamics of term structures of interest rates by using mathematical tools from infinite-dimensional stochastic analysis
- learn and understand the advantages and deficiencies of the use of infinite-dimensional bond market models compared to classical ones from a practical and methodological point of view
- learn and understand how to estimate bond market model parameters both in a classical and an infinite-dimensional setting by using empirical data.
Admission to the course
Students admitted at UiO must?apply for courses?in Studentweb. Students enrolled in other Master's Degree Programmes can, on application, be admitted to the course if this is cleared by their own study programme.
Nordic citizens and applicants residing in the Nordic countries may?apply to take this course as a single course student.
If you are not already enrolled as a student at UiO, please see our information about?admission requirements and procedures for international applicants.
Recommended previous knowledge
- STK-MAT3700 – Introduction to Mathematical Finance and Investment Theory/STK-MAT4700 – Introduction to Mathematical Finance and Investment Theory
- MAT4720 – Stochastic Analysis and Stochastic Differential Equations
Overlapping courses
- 10 credits overlap with STK9530 – Interest Rate Modelling via SPDE's.
Teaching
4 hours of lectures/exercises per week throughout the semester.
The course may be taught in Norwegian if the lecturer and all students at the first lecture agree to it.
Upon the attendance of three or fewer students, the lecturer may, in conjunction with the Head of Teaching, change the course to self-study with supervision.
Examination
Final written exam or final oral exam, which counts 100 % towards the final grade.
The form of examination will be announced by the lecturer by 15 October/15 March for the autumn semester and the spring semester respectively.
This course has?1 mandatory assignment?that must be approved before you can sit the final exam.
It will also be counted as one of the three attempts to sit the exam for this course, if you sit the exam for one of the following courses: STK9530 – Interest Rate Modelling via SPDE's
Examination support material
Written examination: Approved calculators are allowed. Information about approved calculators in Norwegian.
Oral examination: No examination support material is allowed.
Language of examination
Courses taught in English will only offer the exam paper in English. You may submit your response in Norwegian, Swedish, Danish or English.
Grading scale
Grades are awarded on a scale from A to F, where A is the best grade and F is a fail. Read more about the grading system.
Resit an examination
This course offers both postponed and resit of examination. Read more:
More about examinations at UiO
- Use of sources and citations
- Special exam arrangements due to individual needs
- Withdrawal from an exam
- Illness at exams / postponed exams
- Explanation of grades and appeals
- Resitting an exam
- Cheating/attempted cheating
You will find further guides and resources at the web page on examinations at UiO.