Found 4 relevant results in 3.16s where lecturer="Christoph Czichowsky"
Introduction to principal methods of option pricing. Emphasis on PDE-based methods. Prerequisite MATLAB and Python programmingand knowledge of numerical mathematics at ETH BSc level.
This course is on the numerical approximations of stochastic ordinary differential equations (SDEs) driven by Brownian motions and Lévy processes. SDEs have several applications, for example in financial engineering.The contents cover stochastic processes, stochastic calculus, well-posedness results for SDEs, strong and weak approximations of SDEs, and simulation via Monte Carlo methods.
Introductory course on mathematics for investment, hedging, portfolio management, asset pricing and financial derivatives in discrete-time financial markets. Topics: arbitrage, completeness, risk-neutral pricing, utility maximisation, and maybe others. Fundamental theorem of asset pricing, hedging duality theorems in discrete time, convex duality in utility maximisation.
Mean-field games provide a tractable model of large population strategic games. Introduced in the seminal works of Lasry and Lions, and Huang, Malhame and Caines, mean-field games enjoy growing interest by researchers and a wide variety of applications.In this seminar we want to acquaint ourselves with the basic problem formulation and some approaches to study such games.