Beatrice Acciaio: Katalogdaten im Herbstsemester 2023

NameFrau Prof. Dr. Beatrice Acciaio
LehrgebietMathematik
Adresse
Professur für Mathematik
ETH Zürich, HG G 54.3
Rämistrasse 101
8092 Zürich
SWITZERLAND
Telefon+41 44 632 29 55
E-Mailbeatrice.acciaio@math.ethz.ch
URLhttps://people.math.ethz.ch/~beacciaio/
DepartementMathematik
BeziehungOrdentliche Professorin

NummerTitelECTSUmfangDozierende
401-3913-01LMathematical Foundations for Finance Information 4 KP3V + 2UB. Acciaio
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.
KompetenzenKompetenzen
Fachspezifische KompetenzenKonzepte und Theoriengeprüft
Verfahren und Technologiengefördert
Methodenspezifische KompetenzenAnalytische Kompetenzengeprüft
Entscheidungsfindunggefördert
Problemlösunggeprüft
Persönliche KompetenzenAnpassung und Flexibilitätgefördert
Kreatives Denkengefördert
Kritisches Denkengefördert
Integrität und Arbeitsethikgefördert
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