First lecture is Wednesday 6 November at 3.15 PM in room KA.

Signup for oral examination IE students:

link_oral_examination_signup

Course PM

Course PM pdf-file.

Program for the financial applications part of course, 2024 version (pdf).

Handouts etc

Crash course in probability theory and useful facts from math pdf.
Basically, MVE172-students do not need the first 2 1/2 pages of this crash course (that is intended more for MSG800- and MVE170-students) but can start at the section "Axioms of Probability Theory" on page 3.

List of Errata for Hsu's book (version 15 November 2023) pdf-file.

Financial lecture notes authored by Carl Lindberg, new versions with minor typos corrected:

Basic Portfolio Optimization and Optimal Stopping 20241212.pdf

Projekt Optioner och Matematik 20241127.pdf

StochasticCalculus 20241210.pdf

StochasticControlOptimalStopping_20231208.pdf

Variance and Modelling_20240610.pdf

Digital lectures first part of course from previous course editions

Crash course pdf and movie part 1 (not needed for MVE172 students), movie part 2.

Sections 5.1-5.4 in Hsu pdf and movie.

Section 5.5 in Hsu pdf and movie.

Sections 5.6-5.7 in Hsu pdf and movie.

Section 5.8 in Hsu pdf and movie.

Sections 6.1-6.3B in Hsu pdf and movie.

Chapter 9 in Hsu pdf and movie.

Questions about the lectures first part of course should be sent to Patrik Albin palbin@chalmers.se.

Exercises

Link to Exercises.

Digital exercise sessions first part of course from previous course editions

Problems for own work Exercise Session 1

Problems for own work Exercise Session 2

Problems for own work Exercise Session 3

Problems for own work Exercise Session 4

Questions about the exercises first part of course should be sent to Björn Gernot Müller bjornmul@chalmers.se.

Student representatives

Alan Ali alalan@student.chalmers.se.

Jonathan Ekelind jonathan.ekelind@yahoo.se.

Isac Johnsson isacjohnsson@gmail.com.

Ludvig Nordberg luddenordberg@gmail.com.

Eric Sköld ericsk@student.chalmers.se.

Old Exams

Exam 7 December 2024 pdf-file.

Exam 20 August 2024 pdf-file.

Exam 3 April 2024 pdf-file.

Exam 2 December 2023 pdf-file.

Exam 22 August 2023 pdf-file.

Exam 3 April 2023 pdf-file.  

Exam 3 December 2022 pdf-file.

Exam 11 April 2022 pdf-file.

Link to Older Exams.

Program

The schedule of the course is in TimeEdit.

Additional information about the course can be found at Chalmers Student Portal.