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401-8908-00L 3 Credits BSC , NDS , MSC D-GESS , D-ARCH , D-MATH , D-BAUG , D-MTEC , D-PHYS
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Mathematical Finance and Derivatives

Lecturers & Examiners: Prof. Dr. Marc Chesney
VVZ CR n/a

Last Updated: 2026-02-05 15:19:16

Abstract

Stochastic volatility modelsItô's formula and Girsanov theorem for jump-diffusion processesThe pricing of options in presence of possible discontinuitiesExotic optionsTransaction costs

General Information

Language
English
Levels
BSC , NDS , MSC
Frequency
Yearly recurring

Examination

Type
end-of-semester examination
No repetition possible.

Course Components

Type Title Time & Place Hours
lecture Mathematical Finance and Derivatives
  • Mon 14:00-15:45
  • Mon None-None
2 h weekly

Offered In