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401-4910-24L 4 Credits MSC D-MATH

Topics in Mathematical Finance

Lecturers & Examiners: Prof. Dr. Martin Schweizer
Number of participants limited to 12.
VVZ CR n/a

Last Updated: 2026-02-05 16:37:22

Abstract

This seminar will treat advanced topics in the area of mathematical finance.

Objective

Students will learn to read, digest and present advanced mathematical results in the area of mathematical finance.

Content

The core of the seminar is the paper "A compactness principle for bounded sequences of martingales with applications" by F. Delbaen and W. Schachermayer. The goal is to go through that paper in detail and understand and present its results, in the form of a reading group with a presentation each week. One highlight is an application which gives a proof of the optional decomposition theorem in full generality, for general (not locally bounded) semimartingales.

Resources

Literature

F. Delbaen and W. Schachermayer (1999), A compactness principle for bounded sequences of martingales with applications, in: R. C. Dalang, M. Dozzi and F. Russo (eds.), Seminar on Stochastic Analysis, Random Fields and Applications, Progress in Probability 45, Birkhäuser, pp. 137-173

Learning Materials (Links)

General Information

Language
English
Levels
MSC

Examination

Type
ungraded semester performance

Registration & Places

Limited places (Special selection)
Signup Start
01.01.2024
Signup End
10.02.2024
Priority: Registration for the course unit is only possible for the primary target group

Course Components

Type Title Time & Place Hours
seminar Topics in Mathematical Finance
  • Thu 14:15-16:00 (HG E 33.3)
2 h weekly

Offered In

  • Mathematics Master
    • Seminars and Semester Papers
      • Seminars (NOTICE: The number of seminar places is limited, and the special selection procedure should help to allocate the places not primarily according to the registration time. Everybody is waitlisted first when he/she tries to register for a seminar in myStudies. Moreover: Only one mathematics seminar can be chosen per semester. In case you need to attend 2 seminars in this semester, please take contact with the Study Administration (email: ). Notice also the course unit 401-0002-99L Generic Seminar - Second Priority / Third Priority.)
  • Quantitative Finance Master (see Students in the Joint Degree Master's Programme "Quantitative Finance" must book UZH modules directly at the UZH. Those modules are not listed here.)