## Dylan Possamaï: Catalogue data in Autumn Semester 2022 |

Name | Prof. Dr. Dylan Possamaï |

Field | Mathematics |

Address | Professur für Mathematik ETH Zürich, HG G 67.2 Rämistrasse 101 8092 Zürich SWITZERLAND |

Telephone | +41 44 632 28 84 |

dylan.possamai@math.ethz.ch | |

URL | https://sites.google.com/site/possamaidylan/ |

Department | Mathematics |

Relationship | Full Professor |

Number | Title | ECTS | Hours | Lecturers | |
---|---|---|---|---|---|

401-2000-00L | Scientific Works in MathematicsTarget audience: Third year Bachelor students; Master students who cannot document to have received an adequate training in working scientifically. | 0 credits | D. Possamaï | ||

Abstract | Introduction to scientific writing for students with focus on publication standards and ethical issues, especially in the case of citations (references to works of others.) | ||||

Objective | Learn the basic standards of scientific works in mathematics. | ||||

Content | - Types of mathematical works - Publication standards in pure and applied mathematics - Data handling - Ethical issues - Citation guidelines | ||||

Prerequisites / Notice | Directive https://www.ethz.ch/content/dam/ethz/common/docs/weisungssammlung/files-en/declaration-of-originality.pdf | ||||

401-4889-DRL | Mathematical Finance Only for ZGSM (ETH D-MATH and UZH I-MATH) doctoral students. The latter need to register at myStudies and then send an email to info@zgsm.ch with their name, course number and student ID. Please see https://zgsm.math.uzh.ch/index.php?id=forum0 | 3 credits | 4V + 2U | D. Possamaï | |

Abstract | Advanced course on mathematical finance: - semimartingales and general stochastic integration - absence of arbitrage and martingale measures - fundamental theorem of asset pricing - option pricing and hedging - hedging duality - optimal investment problems - additional topics | ||||

Objective | Advanced course on mathematical finance, presupposing good knowledge in probability theory and stochastic calculus (for continuous processes) | ||||

Content | This is an advanced course on mathematical finance for students with a good background in probability. We want to give an overview of main concepts, questions and approaches, and we do this mostly in continuous-time models. Topics include - semimartingales and general stochastic integration - absence of arbitrage and martingale measures - fundamental theorem of asset pricing - option pricing and hedging - hedging duality - optimal investment problems - and probably others | ||||

Lecture notes | The course is based on different parts from different books as well as on original research literature. Lecture notes will not be available. | ||||

Literature | (will be updated later) | ||||

Prerequisites / Notice | Prerequisites are the standard courses - Probability Theory (for which lecture notes are available) - Brownian Motion and Stochastic Calculus (for which lecture notes are available) Those students who already attended "Introduction to Mathematical Finance" will have an advantage in terms of ideas and concepts. This course is the second of a sequence of two courses on mathematical finance. The first course "Introduction to Mathematical Finance" (MF I), 401-3888-00, focuses on models in finite discrete time. It is advisable that the course MF I is taken prior to the present course, 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. | ||||

401-4889-00L | Mathematical Finance | 11 credits | 4V + 2U | D. Possamaï | |

Abstract | Advanced course on mathematical finance: - semimartingales and general stochastic integration - absence of arbitrage and martingale measures - fundamental theorem of asset pricing - option pricing and hedging - hedging duality - optimal investment problems - additional topics | ||||

Objective | Advanced course on mathematical finance, presupposing good knowledge in probability theory and stochastic calculus (for continuous processes) | ||||

Content | This is an advanced course on mathematical finance for students with a good background in probability. We want to give an overview of main concepts, questions and approaches, and we do this mostly in continuous-time models. Topics include - semimartingales and general stochastic integration - absence of arbitrage and martingale measures - fundamental theorem of asset pricing - option pricing and hedging - hedging duality - optimal investment problems - and probably others | ||||

Lecture notes | The course is based on different parts from different books as well as on original research literature. Lecture notes will not be available. | ||||

Literature | (will be updated later) | ||||

Prerequisites / Notice | Prerequisites are the standard courses - Probability Theory (for which lecture notes are available) - Brownian Motion and Stochastic Calculus (for which lecture notes are available) Those students who already attended "Introduction to Mathematical Finance" will have an advantage in terms of ideas and concepts. This course is the second of a sequence of two courses on mathematical finance. The first course "Introduction to Mathematical Finance" (MF I), 401-3888-00, focuses on models in finite discrete time. It is advisable that the course MF I is taken prior to the present course, 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. | ||||

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 |