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401-8908-00L

Continuous Time Quantitative Finance (University of Zurich)

Der Kurs muss direkt an der UZH als incoming student belegt werden. UZH Modulkürzel: 22MO0125 Beachten Sie die Einschreibungstermine an der UZH: Höchstens eine der beiden Lerneinheiten 401-8905-00L Financial Engineering (University of Zurich) 401-8908-00L Continuous Time Quantitative Finance (University of Zurich) darf angerechnet werden. Wenden Sie sich für die Kategoriezuordnung nach dem Verfügen des Prüfungsresultates an das Studiensekretariat ( ).
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Last Updated: 2026-07-21 00:35:38

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