Martin Schweizer: Catalogue data in Spring Semester 2023

Name Prof. Dr. Martin Schweizer
FieldMathematik
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
E-mailmartin.schweizer@math.ethz.ch
URLhttp://www.math.ethz.ch/~mschweiz
DepartmentMathematics
RelationshipFull Professor

NumberTitleECTSHoursLecturers
401-3888-00LIntroduction to Mathematical Finance Information
A related course is 401-3913-01L Mathematical Foundations for Finance (3V+2U, 4 ECTS credits). Although both courses can be taken independently of each other, only one will be recognised for credits in the Bachelor and Master degree. In other words, it is not allowed to earn credit points with one for the Bachelor and with the other for the Master degree.
10 credits4V + 1UM. Schweizer
AbstractIntroductory course on mathematics for investment, hedging, portfolio management, asset pricing and financial derivatives in discrete-time financial markets. Topics: arbitrage, completeness, risk-neutral pricing, utility maximisation, and maybe others. Fundamental theorem of asset pricing, hedging duality theorems in discrete time, convex duality in utility maximisation.
ObjectiveThis is an introductory course on the mathematics for investment, hedging, portfolio management, asset pricing and financial derivatives in discrete-time financial markets. We discuss arbitrage, completeness, risk-neutral pricing and utility maximisation, and maybe other topics. We prove the fundamental theorem of asset pricing and the hedging duality theorems in discrete time, and we also study convex duality in utility maximization.
ContentThis course focuses on discrete-time financial markets. It presumes a knowledge of measure-theoretic probability theory (as taught e.g. in the course "Probability Theory"). The course is offered every year in the Spring semester.

This course is the first of a sequence of two courses on mathematical finance. The second course "Mathematical Finance" (MF II), 401-4889-00, focuses on continuous-time models. It is advisable that the present course, MF I, is taken prior to MF II.

For a (not fully up-to-date) overview of courses offered in the area of mathematical finance, see https://www.math.ethz.ch/imsf/education/education-in-stochastic-finance/overview-of-courses.html.
Lecture notesThe course is based on different parts from different textbooks as well as on original research literature. Lecture notes will not be available.
LiteratureLiterature:

Michael U. Dothan, "Prices in Financial Markets", Oxford University Press

Hans Föllmer and Alexander Schied, "Stochastic Finance: An Introduction in Discrete Time", de Gruyter

Marek Capinski and Ekkehard Kopp, "Discrete Models of Financial Markets", Cambridge University Press

Robert J. Elliott and P. Ekkehard Kopp, "Mathematics of Financial Markets", Springer

Dmitry Kramkov and Walter Schachermayer, "The asymptotic elasticity of utility functions and optimal investment in incomplete markets", Annals of Applied Probability 9 (1999), 904-950
Prerequisites / NoticeA related course is "Mathematical Foundations for Finance" (MFF), 401-3913-01. Although both courses can be taken independently of each other, only one will be given credit points for the Bachelor and the Master degree. In particular, it is not possible to earn credit points with one course for the Bachelor and with the other course for the Master degree.

This course is the first of a sequence of two courses on mathematical finance. The second course "Mathematical Finance" (MF II), 401-4889-00, focuses on continuous-time models. It is advisable that the present course, MF I, is taken prior to MF II.

For an overview of courses offered in the area of mathematical finance, see https://www.math.ethz.ch/imsf/education/education-in-stochastic-finance/overview-of-courses.html.
CompetenciesCompetencies
Subject-specific CompetenciesConcepts and Theoriesassessed
Method-specific CompetenciesAnalytical Competenciesassessed
Decision-makingfostered
Problem-solvingassessed
Social CompetenciesCommunicationfostered
Cooperation and Teamworkfostered
Personal CompetenciesAdaptability and Flexibilityfostered
Creative Thinkingassessed
Critical Thinkingassessed
401-5910-00LTalks in Financial and Insurance Mathematics Information 0 credits1KB. Acciaio, P. Cheridito, D. Possamaï, M. Schweizer, J. Teichmann, M. V. Wüthrich
AbstractResearch colloquium
ObjectiveIntroduction to current research topics in "Insurance Mathematics and Stochastic Finance".
Contenthttps://www.math.ethz.ch/imsf/courses/talks-in-imsf.html