MAT4730 - Autumn 2010

Undervisningsplan

DatoUndervises avStedTemaKommentarer / ressurser
13.12.2010? Niels Henrik Abels hus, Rom B91? ? Final exam

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22.11.2010GdN? Niels Henrik Abels hus, Rom 1036? ? Closing of the course.?
16.11.2010GdN? Niels Henrik Abels hus, Rom 1036? ? Correction of the exercises in class.

Please prepare the list of topics/questions you would like to be briefly revised on 22.11.?

08.11.2010GdN? Niels Henrik Abels hus, Rom 1036? Optimization of consumption and investment schemes in a constraint market ? Continuation and completion of the topic.

Ref [KS] Section 6.1, 6.2, 6.3?

04.11.2010GdN? Niels Henrik Abels hus, Rom 534 ? Contingent claims in incomplete markets and optimization of consumption and investment schemes in a constraint market? Final comments about the topic. The case of constant coefficients.

Ref [KS] Section 5.7.

Suggested exercises for 16.11 are here

Introduction to the next topic: Optimization of consumption and investment schemes in a constraint market.

An exercise on the optimization under constraint is and here?

28.10.2010GdN? Niels Henrik Abels hus, Rom 534 ? Contingent claims in incomplete markets ? Statement and proof of the main result on the evaluation of the upper hedging price.

Ref [KS] Section 5.6.

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21.10.2010GdN? Niels Henrik Abels hus, Rom 534 ? Contingent claims in incomplete markets? The concept and definitions related to the family of auxiliary markets.

Ref. [KS] Section 5.5.?

14.10.2010? ? ? No lecture?
07.10.2010Giulia DiNunno? Niels Henrik Abels hus, Rom 534? Contingent claims in incomplete markets? Introduction of the topic. incompleteness given by exogenous constraints on the portfolio, introduction of the concept of upper hedging price. The support function associated to a convex set.

Ref [KS] Sections 5.1, 5.2, 5.3, 5.4.?

30.09.2010? ? ? No lecture?
23.09.2010JL? Niels Henrik Abels hus, Rom 534? Single-agent consumption and investment? Exercise session

Closing of the topic?

16.09.2010JL? Niels Henrik Abels hus, Rom 534? Single-agent consumption and investment? Solution of the Merton problem using Lagrange method

Ref [KS], Sections 3.6, 3.7

Suggested exercises for 23.09 here and here?

09.09.2010JL ? Niels Henrik Abels hus, Rom 534? Single-agent consumption and investment? Exercise session.

More detailed study of the utility maximization problems.

Ref: [KS], Sections 3.5, 3.6?

02.09.2010JL? Niels Henrik Abels hus, Rom 534 ? Single-agent consumption and investment ? Continuation of the topic.

Suggested exercises for 09.09 here ?

26.08.2010Jukka Lempa? Niels Henrik Abels hus, Rom 534 ? The course. Single-agent consumption and investment ? The course starts.

  • Some information on the course

  • The program starts: Single-agent consumption and investment

Ref: [KS] Sections 3.2, 3.3?

Published Aug. 24, 2010 5:17 PM - Last modified Feb. 7, 2020 4:12 PM
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