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401-8908-00L 3 Credits BSC , MSC D-MATH
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Continuous Time Quantitative Finance (University of Zurich)

No enrolment to this course at ETH Zurich. Book the corresponding module directly at UZH as an incoming student. UZH Module Code: MFOEC204 Mind the enrolment deadlines at UZH:
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Last Updated: 2026-02-05 16:06:42

Abstract

American Options, Stochastic Volatility, Lévy Processes and Option Pricing, Exotic Options, Transaction Costs and Real Options.

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

Resources

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/

General Information

Language
English
Levels
BSC , MSC
Frequency
Yearly recurring

Examination

Type
graded semester performance
Registration modalities, date and venue of this performance assessment are specified solely by the UZH.

Course Components

Type Title Time & Place Hours
lecture Continuous Time Quantitative Finance (University of Zurich)
**Course at University of Zurich**
  • Mon 13:00-15:45
  • Mon None-None
3 h weekly

Offered In