Martin Schweizer: Katalogdaten im Herbstsemester 2022

NameHerr Prof. Dr. Martin Schweizer
LehrgebietMathematik
Adresse
Professur für Mathematik
ETH Zürich, HG G 51.2
Rämistrasse 101
8092 Zürich
SWITZERLAND
Telefon+41 44 632 33 51
Fax+41 44 632 14 74
E-Mailmartin.schweizer@math.ethz.ch
URLhttp://www.math.ethz.ch/~mschweiz
DepartementMathematik
BeziehungOrdentlicher Professor

NummerTitelECTSUmfangDozierende
401-3913-01LMathematical Foundations for Finance Information 4 KP3V + 2UM. Schweizer
KurzbeschreibungFirst introduction to main modelling ideas and mathematical tools from mathematical finance
LernzielThis course gives a first introduction to the main modelling ideas and mathematical tools from mathematical finance. It mainly aims at non-mathematicians who need an introduction to the main tools from stochastics used in mathematical finance. However, mathematicians who want to learn some basic modelling ideas and concepts for quantitative finance (before continuing with a more advanced course) may also find this of interest.. The main emphasis will be on ideas, but important results will be given with (sometimes partial) proofs.
InhaltTopics to be covered include

- financial market models in finite discrete time
- absence of arbitrage and martingale measures
- valuation and hedging in complete markets
- basics about Brownian motion
- stochastic integration
- stochastic calculus: Itô's formula, Girsanov transformation, Itô's representation theorem
- Black-Scholes formula
SkriptSee information on course homepage
Voraussetzungen / BesonderesPrerequisites: Results and facts from probability theory as in the book "Probability Essentials" by J. Jacod and P. Protter will be used freely. Especially participants without a direct mathematics background are strongly advised to familiarise themselves with those tools before (or very quickly during) the course. (A possible alternative to the above English textbook are the (German) lecture notes for the standard course "Wahrscheinlichkeitstheorie".)

For those who are not sure about their background, we suggest to look at the exercises in Chapters 8, 9, 22-25, 28 of the Jacod/Protter book. If these pose problems, you will have a hard time during the course. So be prepared.
Geförderte KompetenzenGeförderte Kompetenzen
Fachspezifische KompetenzenKonzepte und Theoriengeprüft
Verfahren und Technologiennicht geprüft
Methodenspezifische KompetenzenAnalytische Kompetenzengeprüft
Entscheidungsfindungnicht geprüft
Problemlösunggeprüft
Persönliche KompetenzenAnpassung und Flexibilitätnicht geprüft
Kreatives Denkennicht geprüft
Kritisches Denkennicht geprüft
Integrität und Arbeitsethiknicht geprüft
401-5910-00LTalks in Financial and Insurance Mathematics Information 0 KP1KB. Acciaio, P. Cheridito, D. Possamaï, M. Schweizer, J. Teichmann, M. V. Wüthrich
KurzbeschreibungResearch colloquium
Lernziel
InhaltRegular research talks on various topics in mathematical finance and actuarial mathematics