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401-3913-00L 5 Credits

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Mathematical Foundations of Finance

Lecturers & Examiners: Prof. em. Dr. Freddy Delbaen

VVZ CR n/a

Last Updated: 2026-02-05 14:55:05

Abstract

The course aims at providing an introduction to mathematical finance. Starting from a review of probability theory and a summary of martingale theory, an introduction to stochastic integration including its application to mathematical finance will be given. Topics addressed include Ito's formula, Girsanov's Theorem, put-call parity and option pricing in the Black-Scholes Model.

General Information

Language: English
Frequency: Yearly recurring

Examination

Type: session examination
Mode: oral 30 minutes

Course Components

Type	Title	Time & Place	Hours
lecture	Mathematical Foundations of Finance	Fri 09:15-11:00 (HG E 33.5) 22.02 Date 09:15-12:00 (HG D 7.1)	2 h weekly
exercise	Mathematical Foundations of Finance	Fri 11:15-12:00 (HG E 33.5)	1 h weekly

Offered In

Mathematik, Physik, Rechnergestützte Wissenschaften
- Fachstudium Mathematik: Wahlfächer
  - Versicherungs- und Finanzmathematik
Nachdiplomstudien
- D-MATH
  - Nachdiplomstudium "Master of Advanced Studies in Finance" (For information and admission see . Abkürzungen / Abbreviations: O obligatorisches Fach / obligatory course; W Wahlpflichtfach / elective course; E empfohlenes Fach / recommended or optional course)