401391301L Mathematical Foundations for Finance
Semester  Autumn Semester 2020 
Lecturers  M. Schweizer 
Periodicity  yearly recurring course 
Language of instruction  English 
Courses
Number  Title  Hours  Lecturers  

401391301 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/hge7.html  3 hrs 
 M. Schweizer  
401391301 U  Mathematical Foundations for Finance Groups are selected in myStudies. **together with University of Zurich** Fri 810 or Fri 1012 The lecturers will communicate the exact lesson times of ONLINE courses.  2 hrs 
 M. Schweizer 
Catalogue data
Abstract  First introduction to main modelling ideas and mathematical tools from mathematical finance 
Objective  This course gives a first introduction to the main modelling ideas and mathematical tools from mathematical finance. It aims mainly at nonmathematicians 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. 
Content  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  BlackScholes formula 
Lecture notes  Lecture notes will be made available at the beginning of the course. 
Literature  Lecture notes will be made available at the beginning of the course. Additional (background) references are given there. 
Prerequisites / Notice  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, 2225, 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 credits  4 credits 
Examiners  M. Schweizer 
Type  session examination 
Language of examination  English 
Repetition  The performance assessment is offered every session. Repetition possible without reenrolling for the course unit. 
Mode of examination  written 180 minutes 
Written aids  keine 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 link  Mathematical Foundations for Finance 
Only public learning materials are listed. 
Groups
401391301 U  Mathematical Foundations for Finance  
Groups  GON (NOP?) 
 
G01 
 
G02 

Restrictions
There are no additional restrictions for the registration. 