KTH Mathematics

Mathematical Statistics

SF2942 Portfolio Theory and Risk Management 7.5 cr, autumn 2016
    Pierre Nyquist
    Department of Mathematics
    Office: Room 3443, Lindstedtsv. 25 (4th floor)
    Office Phone: +46 8 790 6633

    Carl Ringqvist
    Department of Mathematics
    Office: Room 3750, Lindstedtsv. 25 (7th floor)

    Office hours: Tue 10:30--11:30 (in 3443).

    General course information.

    On the following pages you can find some general information regarding the course.
  • Short course description.
  • Course information 2016.
  • Plan for the course in 2016. [Preliminary]
  • Schedule.
  • Course literature: Risk and Portfolio Analysis: Principles and Methods, Springer Series in Operations Research and Financial Engineering, by H. Hult, F. Lindskog, O. Hammarlid, and C. J. Rehn. ISBN 978-1-4614-4102-1.
  • Solutions and errata for the textbook.

  • Information about registrations can be found here.

    You can find an up-to-date account and current information here. [Updated 11/22]

    A summary of the course content is now available: courseSummary.pdf.

    Course evaluation

    An evaluation form for the course is available here. This is an important part of evaluating the course, and everyone involved, and improving this and other courses, so please take the time to fill out the questionnaire. It only take a few minutes; most questions are multiple choice.
    Update: As only about 30 of you have taken part in the evaluation, the form will be open for a few more days. Please consider taking the time to answer the questions and assist us in the evaluation process.

    Final exam.

    The final exam has been graded and all results should be available in Rapp. General information and an overview of the results is available here. Students with the grade Fx who wish to attempt to obtain a passing grade should contact Pierre.

    The final exam and solutions are available here: Exam, solutions.

    The exam will be open book. Calculators are allowed as per usual. Printed copies of the digital version of the book are allowed. Other materials that are allowed (but certainly not necessary): BETA Mathematics Handbook, Appendix B of Gut's book ("An Intermediate Course in Probability"), covering most standard probability distributions.

    The preliminary score needed to pass the exam is 25.

    Students with disabilities: Please contact KTH FUNKA to inquire about any support you may need during the exam.


  • Problem set 1; Note on American options

  • Some clarifications regarding the problems can be found under current information.
    The first problem set should be handed in no later than 10:00 on September 23. For information about American options please see the accompanying note.

  • Problem set 2; Quantlab workspace (updated 10/10).

  • You will need to use KTH Finance Lab for (most of) the assignment. Questions regarding Finance Lab should be directed to Alexander Aurell. On his website you can also find links to various documents on Finance Lab, as well as a demo workspace that you can use to familiarize yourself with the environment (if desired). A brief description of the workspace used for the assignment is available here

    In ordet to open the workspace in Quantlab, right click on the link to the workspace and choose "Save link as...", then upload to your catalogue "appdata" through home.ug.kth.se
    Solutions should be handed in no later than 10:00 on October 21.

    For additional information about the assignments please consult the syllabus and current information.

    Old exams.

    Exams given by Henrik Hult were open book.

  • October 21 2014: Exam, Solutions.
  • January 9 2015: Exam, Solutions.
  • October 29 2015:Exam, Solutions.
  • January 8 2016 Exam, Solutions.
  • Older exams with solutions can be found here

To Mathematical Statistics
To Mathematical Statistics Courses
Published by: Filip Lindskog
Updated: 22/06-2011