401-8908-00L Continuous Time Quantitative Finance (University of Zurich)
| Semester | Spring Semester 2023 |
| Lecturers | University lecturers |
| Periodicity | yearly recurring course |
| Language of instruction | English |
| Comment | No 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: https://www.uzh.ch/cmsssl/en/studies/application/deadlines.html 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 (www.math.ethz.ch/studiensekretariat) after having received the credits. |
| Abstract | American Options, Stochastic Volatility, Lévy Processes and Option Pricing, Exotic Options, Transaction Costs and Real Options. |
| Learning objective | The 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. |
| Content | Stochastic 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 notes | See: http://www.isb.uzh.ch/institut/staff/chesney.marc/teaching/ |
| Literature | See: http://www.isb.uzh.ch/institut/staff/chesney.marc/teaching/ |
| Prerequisites / Notice | This 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). |