401-3956-00L Economic Theory of Financial Markets
|Spring Semester 2020
|M. V. Wüthrich
|two-yearly recurring course
|Does not take place this semester.
|Language of instruction
|This lecture provides an introduction to the economic theory of financial markets. It presents the basic financial and economic concepts to insurance mathematicians and actuaries.
|This 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.
|We 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 / Notice
|The 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 Link.
Knowledge in probability theory, stochastic processes and statistics is assumed.