Martin Schweizer: Catalogue data in Autumn Semester 2020 |
| Name | Prof. Dr. Martin Schweizer |
| Field | Mathematik |
| Address | Professur für Mathematik ETH Zürich, HG G 51.2 Rämistrasse 101 8092 Zürich SWITZERLAND |
| Telephone | +41 44 632 33 51 |
| Fax | +41 44 632 14 74 |
| martin.schweizer@math.ethz.ch | |
| URL | http://www.math.ethz.ch/~mschweiz |
| Department | Mathematics |
| Relationship | Full Professor |
| Number | Title | ECTS | Hours | Lecturers | |
|---|---|---|---|---|---|
| 401-3913-01L | Mathematical Foundations for Finance  | 4 credits | 3V + 2U | M. Schweizer | |
| Abstract | First introduction to main modelling ideas and mathematical tools from mathematical finance | ||||
| Objective | This course gives a first introduction to the main modelling ideas and mathematical tools from mathematical finance. It aims mainly 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. | ||||
| Content | Topics 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 | ||||
| Lecture notes | Lecture notes will be made available at the beginning of the course. | ||||
| Literature | Lecture notes will be made available at the beginning of the course. Additional (background) references are given there. | ||||
| Prerequisites / Notice | Prerequisites: 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. | ||||
| 401-5910-00L | Talks in Financial and Insurance Mathematics | 0 credits | 1K | B. Acciaio, P. Cheridito, D. Possamaï, M. Schweizer, J. Teichmann, M. V. Wüthrich | |
| Abstract | Research colloquium | ||||
| Objective | |||||
| Content | Regular research talks on various topics in mathematical finance and actuarial mathematics | ||||
| 406-2604-AAL | Probability and Statistics Enrolment ONLY for MSc students with a decree declaring this course unit as an additional admission requirement. Any other students (e.g. incoming exchange students, doctoral students) CANNOT enrol for this course unit. | 7 credits | 15R | M. Schweizer | |
| Abstract | Introduction to probability and statistics with many examples, based on chapters from the books "Probability and Random Processes" by G. Grimmett and D. Stirzaker and "Mathematical Statistics and Data Analysis" by J. Rice. | ||||
| Objective | The goal of this course is to provide an introduction to the basic ideas and concepts from probability theory and mathematical statistics. In addition to a mathematically rigorous treatment, also an intuitive understanding and familiarity with the ideas behind the definitions are emphasized. Measure theory is not used systematically, but it should become clear why and where measure theory is needed. | ||||
| Content | Probability: Chapters 1-5 (Probabilities and events, Discrete and continuous random variables, Generating functions) and Sections 7.1-7.5 (Convergence of random variables) from the book "Probability and Random Processes". Most of this material is also covered in Chap. 1-5 of "Mathematical Statistics and Data Analysis", on a slightly easier level. Statistics: Sections 8.1 - 8.5 (Estimation of parameters), 9.1 - 9.4 (Testing Hypotheses), 11.1 - 11.3 (Comparing two samples) from "Mathematical Statistics and Data Analysis". | ||||
| Literature | Geoffrey Grimmett and David Stirzaker, Probability and Random Processes. 3rd Edition. Oxford University Press, 2001. John A. Rice, Mathematical Statistics and Data Analysis, 3rd edition. Duxbury Press, 2006. | ||||