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Mathematical Foundations for Finance
Last Updated: 2026-06-03 00:07:37
Abstract
First introduction to main modelling ideas and mathematical tools from mathematical finance
Objective
This course gives a first introduction to the main modelling ideas and mathematical tools from mathematical finance. It mainly aims at non-mathematicians who need an introduction to the main tools from stochastics used in mathematical finance. However, mathematicians who want to learn some basic modelling ideas and concepts for quantitative finance (before continuing with a more advanced course) may also find this of interest.. The main emphasis will be on ideas, but important results will be given with (sometimes partial) proofs.
Content
Topics to be covered include - financial market models in finite discrete time - absence of arbitrage and martingale measures - valuation and hedging in complete markets - basics about Brownian motion - stochastic integration - stochastic calculus: Itô's formula, Girsanov transformation, Itô's representation theorem - Black-Scholes formula
Resources
Lecture Notes
See information on course homepage
General Information
- Language
- English
- Levels
- BSC , DR , MSC
- Frequency
- Yearly recurring
Examination
- Type
- session examination
- Mode
- written 180 minutes
- Aids
- no aiding materials allowed
Course Components
| Type | Title | Time & Place | Hours |
|---|---|---|---|
| lecture |
Mathematical Foundations for Finance
**together with University of Zurich**
Rueckmeldung Dylan:
We have managed to agree on Tuesdays and Thursdays from 10:15 to 12:00.
|
No time listed | 3 h weekly |
| exercise |
Mathematical Foundations for Finance
**together with University of Zurich**
Fri 8-10 or Fri 10-12
|
No time listed | 2 h weekly |
Offered In
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Actuary SAA Education at ETH Zurich (Further pieces of information are available at Prof. M. Wüthrich's secretariat, HG F 42.)
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Electives (only conditionally recognised) (In the Bachelor's programme in Mathematics 401-3913-01L Mathematical Foundations for Finance is eligible as an elective course, but only if 401-3888-00L Introduction to Mathematical Finance isn't recognised for credits (neither in the Bachelor's nor in the Master's programme). For the category assignment take contact with the Study Administration Office ( ) after having received the credits.)
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Electives (only conditionally recognised) (In the Master's programme in Mathematics (direction Mathematics resp. Applied Mathematics 401-3913-01L Mathematical Foundations for Finance is eligible as an elective course resp. applied elective course, but only if 401-3888-00L Introduction to Mathematical Finance isn't recognised for credits (neither in the Bachelor's nor in the Master's programme). For the category assignment take contact with the Study Administration Office ( ) after having received the credits.)
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Quantitative Finance Master (see Students in the Joint Degree Master's Programme "Quantitative Finance" must book University of Zurich modules directly at the University of Zurich. Those modules are not listed here.)
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MF (Mathematical Methods in Finance) (For possible additional course offerings see )
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