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401-8921-01L 4.5 Credits BSC , NDS , MSC D-GESS , D-ARCH , D-MTEC , D-MATH , D-BAUG , D-PHYS
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Introduction to Mathematical Finance and Derivatives

Lecturers & Examiners: Prof. Dr. Erich Walter Farkas, Prof. Dr. Marc Chesney
VVZ CR n/a

Last Updated: 2026-02-05 15:06:39

Abstract

The course aims at providing an introduction to discrete and continuous time finance. Option pricing theory will be presented in different model settings. Moreover, the basic concepts like absence of arbitrage, market completeness and optimal stopping will be discussed. It is recommended to follow the parallel course about mathematical foundations of finance.

General Information

Language
English
Levels
BSC , NDS , MSC
Frequency
Yearly recurring

Examination

Type
session examination
Mode
oral 30 minutes

Course Components

Type Title Time & Place Hours
lecture Introduction to Mathematical Finance and Derivatives
  • Tue 10:15-12:00
  • Tue None-None
2 h weekly
exercise Introduction to Mathematical Finance and Derivatives
  • Tue 12:15-13:00
  • Tue None-None
1 h weekly

Offered In