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401-3954-00L 6 Credits

Stochastic Processes for Mathematical Finance

Lecturers & Examiners: Prof. Dr. Martin Schweizer
VVZ CR n/a

Last Updated: 2026-02-05 14:57:13

Content

This course gives an introduction to stochastic processes with particular emphasis on topics that may be useful for aspects of mathematical finance. Prerequisite is the usual course in probability theory which includes integration theory, conditional expectations and martingales (in discrete time). Topics to be treated include - Brownian motion and some of its properties - Markov processes - Stochastic calculus for continuous semimartingales - Processes with jumps, including Levy processes

General Information

Language
English
Frequency
Yearly recurring

Examination

Type
session examination
Mode
oral 30 minutes

Course Components

Type Title Time & Place Hours
lecture Stochastic Processes for Mathematical Finance
  • Wed 08:15-10:00 (HG G 26.5)
2 h weekly
exercise Stochastic Processes for Mathematical Finance
  • Thu 09:15-10:00 (HG G 26.5)
  • Fri 11:15-12:00 (HG D 5.1)
  • 30.07 Date 10:15-12:00 (CLA E 4)
1 h weekly

Offered In