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401-8905-00L 6 Credits MSC D-ITET , D-MATH , D-INFK

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Financial Engineering (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: 22MO0142 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.

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Last Updated: 2026-06-01 11:33:15

Abstract

This lecture is intended for students who would like to learn more on equity derivatives modelling and pricing.

Objective

Quantitative models for European option pricing (including stochastic volatility and jump models), volatility and variance derivatives, American and exotic options.

Content

After introducing fundamental concepts of mathematical finance including no-arbitrage, portfolio replication and risk-neutral measure, we will present the main models that can be used for pricing and hedging European options e.g. Black- Scholes model, stochastic and jump-diffusion models, and highlight their assumptions and limitations. We will cover several types of derivatives such as European and American options, Barrier options and Variance- Swaps. Basic knowledge in probability theory and stochastic calculus is required. Besides attending class, we strongly encourage students to stay informed on financial matters, especially by reading daily financial newspapers such as the Financial Times or the Wall Street Journal.

Resources

Lecture Notes

Script, exercises

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 with exercise	Financial Engineering (University of Zurich) Course at University of Zurich	No time listed	4 h weekly

Offered In

Rechnergestützte Wissenschaften Master
- Vertiefungsgebiete
  - Computational Finance
Mathematik Master
- Anwendungsgebiet (Nur für das Master-Diplom in Angewandter Mathematik erforderlich und anrechenbar. In der Kategorie Anwendungsgebiet für den Master in Angewandter Mathematik muss eines der zur Auswahl stehenden Anwendungsgebiete gewählt werden. Im gewählten Anwendungsgebiet müssen mindestens 8 KP erworben werden. Kreditpunkte aus anderen Anwendungsgebieten sind nicht für weitere Anwendungsgebiete anrechenbar.)
  - Finance
Data Science Master
- Master-Studium (Studienreglement 2023)
  - Wahlfächer
    - Interdisziplinäre Wahlfächer