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401-4889-DRL 3 Credits DR D-MATH

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Mathematical Finance

Lecturers & Examiners: Prof. Dr. Dylan Possamaï

Only for ZGSM (ETH D-MATH and UZH I-MATH) doctoral students. The latter need to register at myStudies and then send an email to with their name, course number and student ID. Please see

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Last Updated: 2026-02-05 16:02:04

Abstract

Advanced course on mathematical finance:- semimartingales and general stochastic integration- absence of arbitrage and martingale measures- fundamental theorem of asset pricing- option pricing and hedging- hedging duality- optimal investment problems- additional topics

Objective

Advanced course on mathematical finance, presupposing good knowledge in probability theory and stochastic calculus (for continuous processes)

Content

This is an advanced course on mathematical finance for students with a good background in probability. We want to give an overview of main concepts, questions and approaches, and we do this mostly in continuous-time models. Topics include - semimartingales and general stochastic integration - absence of arbitrage and martingale measures - fundamental theorem of asset pricing - option pricing and hedging - hedging duality - optimal investment problems - and probably others

Resources

Lecture Notes

The course is based on different parts from different books as well as on original research literature.Lecture notes will not be available.

Literature

(will be updated later)

Learning Materials (Links)

Main link
Information

General Information

Language: English
Levels: DR
Frequency: Yearly recurring

Examination

Type: ungraded semester performance

Registration & Places

Priority: Registration for the course unit is only possible for the primary target group

Course Components

Type	Title	Time & Place	Hours
lecture	Mathematical Finance	Tue 08:15-10:00 (HG E 1.1) Thu 08:15-10:00 (ML F 36)	4 h weekly
exercise	Mathematical Finance	Fri 10:15-12:00 (ML F 38)	2 h weekly

Offered In

Doctorate Mathematics (More Information at: )
- Subject Specialisation (The list of courses (together with the allocated credit points) eligible for doctoral students is published each semester in the newsletter of the ZGSM.)
  - Graduate School (Official website of the Zurich Graduate School in Mathematics:)