401-3913-01L Mathematical Foundations for Finance
| Semester | Herbstsemester 2020 |
| Dozierende | M. Schweizer |
| Periodizität | jährlich wiederkehrende Veranstaltung |
| Lehrsprache | Englisch |
Lehrveranstaltungen
| Nummer | Titel | Umfang | Dozierende | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 401-3913-01 V | Mathematical Foundations for Finance **together with University of Zurich** «Hybrid» Students in the Quantitative Finance MSc UZH/ETH programme can attend the lecture in the classroom HG E 7 in September and October. ONLINE for all students as of November. The lecturers will communicate the exact lesson times of ONLINE courses. URL for live streaming: https://video.ethz.ch/live/lectures/zentrum/hg/hg-e-7.html | 3 Std. |
| M. Schweizer | |||||||||
| 401-3913-01 U | Mathematical Foundations for Finance Gruppeneinteilung erfolgt über myStudies. **together with University of Zurich** Fri 8-10 or Fri 10-12 The lecturers will communicate the exact lesson times of ONLINE courses. | 2 Std. |
| M. Schweizer |
Katalogdaten
| Kurzbeschreibung | First introduction to main modelling ideas and mathematical tools from mathematical finance |
| Lernziel | This course gives a first introduction to the main modelling ideas and mathematical tools from mathematical finance. It aims mainly 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. |
| Inhalt | Topics 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 |
| Skript | Lecture notes will be made available at the beginning of the course. |
| Literatur | Lecture notes will be made available at the beginning of the course. Additional (background) references are given there. |
| Voraussetzungen / Besonderes | Prerequisites: 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. |
Leistungskontrolle
| Information zur Leistungskontrolle (gültig bis die Lerneinheit neu gelesen wird) | |
Leistungskontrolle als Semesterkurs | |
| ECTS Kreditpunkte | 4 KP |
| Prüfende | M. Schweizer |
| Form | Sessionsprüfung |
| Prüfungssprache | Englisch |
| Repetition | Die Leistungskontrolle wird in jeder Session angeboten. Die Repetition ist ohne erneute Belegung der Lerneinheit möglich. |
| Prüfungsmodus | schriftlich 180 Minuten |
| Hilfsmittel schriftlich | keine Hilfsmittel / no aiding materials allowed |
| Diese Angaben können noch zu Semesterbeginn aktualisiert werden; verbindlich sind die Angaben auf dem Prüfungsplan. | |
Lernmaterialien
| Hauptlink | Mathematical Foundations for Finance |
| Es werden nur die öffentlichen Lernmaterialien aufgeführt. | |
Gruppen
| 401-3913-01 U | Mathematical Foundations for Finance | ||||||
| Gruppen | G-ON (NOP?) |
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| G-01 |
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| G-02 |
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Einschränkungen
| Keine zusätzlichen Belegungseinschränkungen vorhanden. |
