401-3913-01L  Mathematical Foundations for Finance

SemesterAutumn Semester 2019
LecturersE. W. Farkas
Periodicityyearly recurring course
Language of instructionEnglish


401-3913-01 VMathematical Foundations for Finance
**together with University of Zurich**
3 hrs
Tue12:15-13:00HG D 1.1 »
Wed10:15-12:00HG D 1.1 »
E. W. Farkas
401-3913-01 UMathematical Foundations for Finance
Groups are selected in myStudies.
**together with University of Zurich**
Fri 8-10 or Fri 10-12
2 hrs
Fri08:15-10:00HG D 7.1 »
10:15-12:00LFW E 13 »
E. W. Farkas

Catalogue data

AbstractFirst introduction to main modelling ideas and mathematical tools from mathematical finance
ObjectiveThis 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.
ContentTopics 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 notesLecture notes will be sold at the beginning of the course.
LiteratureLecture notes will be sold at the beginning of the course. Additional (background) references are given there.
Prerequisites / NoticePrerequisites: 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.

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits4 credits
ExaminersE. W. Farkas
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is offered every session. Repetition possible without re-enrolling for the course unit.
Mode of examinationwritten 180 minutes
Written aidskeine Hilfsmittel / no aiding materials allowed
This information can be updated until the beginning of the semester; information on the examination timetable is binding.

Learning materials

Main linkMathematical Foundations for Finance
Only public learning materials are listed.


401-3913-01 UMathematical Foundations for Finance
Fri08:15-10:00HG D 7.1 »
Fri10:15-12:00LFW E 13 »


There are no additional restrictions for the registration.

Offered in

Mathematics (General Courses)Actuary SAA Education at ETH ZurichWInformation
Quantitative Finance MasterMathematical Methods for FinanceWInformation
Computational Science and Engineering BachelorComputational FinanceWInformation
Computational Science and Engineering MasterComputational FinanceWInformation
Statistics MasterStatistical and Mathematical CoursesWInformation