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401-8908-00L 3 Credits 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: 22MO0125 Mind the enrolment deadlines at UZH: At most one of the two course units 401-8905-00L Financial Engineering (University of Zurich) 401-8908-00L Continuous Time Quantitative Finance (University of Zurich) is eligible for credits. For the category assignment take contact with the Study Administration Office ( ) after having received the credits.

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Last Updated: 2026-02-05 16:22:14

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: 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

Computational Science and Engineering Master
- Fields of Specialization
  - Computational Finance (only conditionally recognised)
Mathematics Master
- Application Area (Only necessary and eligible for the Master degree in Applied Mathematics. One of the application areas specified must be selected for the category Application Area for the Master degree in Applied Mathematics. At least 8 credits are required in the chosen application area. Credits from other application areas cannot be recognised for further application areas.)
  - Finance (only conditionally recognised)