401-8908-00L  Continuous Time Quantitative Finance (University of Zurich)

SemesterSpring Semester 2023
LecturersUniversity lecturers
Periodicityyearly recurring course
Language of instructionEnglish
CommentNo enrolment to this course at ETH Zurich. Book the corresponding module directly at UZH as an incoming student.
UZH Module Code: 22MO0125

Mind the enrolment deadlines at UZH:
Link

At most one of the two course units
401-8905-00L Financial Engineering (University of Zurich)
401-8908-00L Continuous Time Quantitative Finance (University of Zurich)
is eligible for credits.
For the category assignment take contact with the Study Administration Office (Link) after having received the credits.



Courses

NumberTitleHoursLecturers
401-8908-00 VContinuous Time Quantitative Finance (University of Zurich)
**Course at University of Zurich**
3 hrs
Mon13:00-15:45UNI ZH .
University lecturers

Catalogue data

AbstractAmerican Options, Stochastic Volatility, Lévy Processes and Option Pricing, Exotic Options, Transaction Costs and Real Options.
ObjectiveThe course focuses on the theoretical foundations of modern derivative pricing. It aims at deriving and explaining important option pricing models by relying on some mathematical tools of continuous time finance.
A particular focus on jump processes is given. The introduction of possible financial crashes is now essential in some models and a clear understanding of Poisson processes is therefore important. A standard background in stochastic calculus is required.
ContentStochastic volatility models
Itô's formula and Girsanov theorem for jump-diffusion processes
The pricing of options in presence of possible discontinuities
Exotic options
Transaction costs
Lecture notesSee: Link
LiteratureSee: Link
Prerequisites / NoticeThis course replaces "Continuous Time Quantitative Finance" (MFOEC108), which will be discontinued. Students who have taken "Continuous Time Quantitative Finance" (MFOEC108) in the past, are not allowed to book this course "Continuous Time Quantitative Finance" (MFOEC204).

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits3 credits
Examiners
Typegraded semester performance
Language of examinationEnglish
RepetitionRepetition only possible after re-enrolling for the course unit.
Additional information on mode of examinationRegistration modalities, date and venue of this performance assessment are specified solely by the UZH.

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
Mathematics MasterFinance (only conditionally recognised)WInformation
Computational Science and Engineering MasterComputational Finance (only conditionally recognised)WInformation