401-3956-00L  Economic Theory of Financial Markets

SemesterSpring Semester 2020
LecturersM. V. Wüthrich
Periodicitytwo-yearly recurring course
CourseDoes not take place this semester.
Language of instructionEnglish



Courses

NumberTitleHoursLecturers
401-3956-00 VEconomic Theory of Financial Markets
Does not take place this semester.
2 hrsM. V. Wüthrich

Catalogue data

AbstractThis lecture provides an introduction to the economic theory of financial markets. It presents the basic financial and economic concepts to insurance mathematicians and actuaries.
ObjectiveThis lecture aims at providing the fundamental financial and economic concepts to insurance mathematicians and actuaries. It focuses on portfolio theory, cash flow valuation and deflator techniques.
ContentWe treat the following topics:
- Fundamental concepts in economics
- Portfolio theory
- Mean variance analysis, capital asset pricing model
- Arbitrage pricing theory
- Cash flow theory
- Valuation principles
- Stochastic discounting, deflator techniques
- Interest rate modeling
- Utility theory
Prerequisites / NoticeThe exams ONLY take place during the official ETH examination period.

This course will be held in English and counts towards the diploma of "Aktuar SAV". For the latter, see details under www.actuaries.ch.

Knowledge in probability theory, stochastic processes and statistics is assumed.

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits4 credits
ExaminersM. V. Wüthrich
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is offered every session. Repetition possible without re-enrolling for the course unit.
Mode of examinationoral 20 minutes
Additional information on mode of examinationLanguage of examination: English or German / Prüfungssprache: Deutsch oder Englisch
This information can be updated until the beginning of the semester; information on the examination timetable is binding.

Learning materials

No public learning materials available.
Only public learning materials are listed.

Groups

No information on groups available.

Restrictions

There are no additional restrictions for the registration.

Offered in

ProgrammeSectionType
Doctoral Department of MathematicsGraduate SchoolWInformation
Mathematics (General Courses)Actuary SAA Education at ETH ZurichWInformation
Mathematics BachelorSelection: Financial and Insurance MathematicsWInformation
Mathematics MasterSelection: Financial and Insurance MathematicsWInformation
Quantitative Finance MasterEconomic Theory for FinanceWInformation