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401-4060-00L 4 Credits

Topics in incomplete markets - VL SS 06

Lecturers & Examiners: Prof. Dr. Martin Schweizer
VVZ CR n/a

Last Updated: 2026-02-05 15:09:58

Abstract

Quadratic risk-minimization and related topics

Objective

This is an advanced course on quadratic risk-minimization and related topics, including - mean-variance hedging - local and global risk-minimization - closedness of spaces of stochastic integrals - Markowitz problems - quadratic indifference valuation

General Information

Language
English

Examination

Type
session examination
Mode
oral 30 minutes

Course Components

Type Title Time & Place Hours
lecture Topics in incomplete markets - VL SS 06
  • Fri 14:15-16:00 (HG D 1.1)
2 h weekly

Offered In