401-4889-DRL  Mathematical Finance

SemesterAutumn Semester 2022
LecturersD. Possamaï
Periodicityyearly recurring course
Language of instructionEnglish
CommentOnly for ZGSM (ETH D-MATH and UZH I-MATH) doctoral students. The latter need to register at myStudies and then send an email to Link with their name, course number and student ID. Please see Link



Courses

NumberTitleHoursLecturers
401-4889-00 VMathematical Finance4 hrs
Tue08:15-10:00HG E 1.1 »
Thu08:15-10:00ML F 36 »
D. Possamaï
401-4889-00 UMathematical Finance2 hrs
Fri10:15-12:00ML F 38 »
D. Possamaï

Catalogue data

AbstractAdvanced course on mathematical finance:
- semimartingales and general stochastic integration
- absence of arbitrage and martingale measures
- fundamental theorem of asset pricing
- option pricing and hedging
- hedging duality
- optimal investment problems
- additional topics
ObjectiveAdvanced course on mathematical finance, presupposing good knowledge in probability theory and stochastic calculus (for continuous processes)
ContentThis is an advanced course on mathematical finance for students with a good background in probability. We want to give an overview of main concepts, questions and approaches, and we do this mostly in continuous-time models.

Topics include
- semimartingales and general stochastic integration
- absence of arbitrage and martingale measures
- fundamental theorem of asset pricing
- option pricing and hedging
- hedging duality
- optimal investment problems
- and probably others
Lecture notesThe course is based on different parts from different books as well as on original research literature.

Lecture notes will not be available.
Literature(will be updated later)
Prerequisites / NoticePrerequisites are the standard courses
- Probability Theory (for which lecture notes are available)
- Brownian Motion and Stochastic Calculus (for which lecture notes are available)
Those students who already attended "Introduction to Mathematical Finance" will have an advantage in terms of ideas and concepts.

This course is the second of a sequence of two courses on mathematical finance. The first course "Introduction to Mathematical Finance" (MF I), 401-3888-00, focuses on models in finite discrete time. It is advisable that the course MF I is taken prior to the present course, MF II.

For an overview of courses offered in the area of mathematical finance, see Link.

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits3 credits
ExaminersD. Possamaï
Typeungraded semester performance
Language of examinationEnglish
RepetitionRepetition only possible after re-enrolling for the course unit.

Learning materials

 
Main linkInformation
Only public learning materials are listed.

Groups

No information on groups available.

Restrictions

PriorityRegistration for the course unit is only possible for the primary target group
Primary target groupDoctorate Mathematics (439002)
Doctorate Computational Science and Engineering (439102)

Offered in

ProgrammeSectionType
Doctorate MathematicsGraduate SchoolWInformation