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401-3913-01L 4 Credits BSC , DR , MSC D-MATH
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Mathematical Foundations for Finance

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

Last Updated: 2026-02-05 15:34:41

Abstract

First introduction to main modelling ideas and mathematical tools from mathematical finance

Objective

This course gives a first introduction to the main modelling ideas and mathematical tools from mathematical finance. It aims mainly at non-mathematicians who need an introduction to the main tools from stochastics used in mathematical finance. However, mathematicians who want to learn some basic modelling ideas and concepts for quantitative finance (before continuing with a more advanced course) may also find this of interest. The main emphasis will be on ideas, but important results will be given with (sometimes partial) proofs.

Content

Topics to be covered include - financial market models in finite discrete time - absence of arbitrage and martingale measures - valuation and hedging in complete markets - basics about Brownian motion - stochastic integration - stochastic calculus: Itô's formula, Girsanov transformation, Itô's representation theorem - Black-Scholes formula

Resources

Lecture Notes

Lecture notes will be made available at the beginning of the course.

Literature

Lecture notes will be made available at the beginning of the course. Additional (background) references are given there.

Learning Materials (Links)

General Information

Language
English
Levels
BSC , DR , MSC
Frequency
Yearly recurring

Examination

Type
session examination
Mode
written 180 minutes
Aids
keine Hilfsmittel / no aiding materials allowed

Course Components

Type Title Time & Place Hours
lecture Mathematical Foundations for Finance
**together with University of Zurich** «Hybrid» Students in the Quantitative Finance MSc UZH/ETH programme can attend the lecture in the classroom HG E 7 in September and October. ONLINE for all students as of November. The lecturers will communicate the exact lesson times of ONLINE courses. URL for live streaming:
  • Tue 08:00-10:00 (ON LI NE)
  • Thu 13:00-14:00 (ON LI NE)
3 h weekly
exercise Mathematical Foundations for Finance
Groups are selected in myStudies. **together with University of Zurich** Fri 8-10 or Fri 10-12 The lecturers will communicate the exact lesson times of ONLINE courses.
  • Fri 08:00-10:00 (ON LI NE)
  • Fri 08:00-10:00 (ON LI NE)
  • Fri 10:00-12:00 (ON LI NE)
2 h weekly

Offered In