VVZ API is not affiliated with ETH Zurich. Data might be outdated or incorrect. Please view the official ETHZ Vorlesungsverzeichnis for binding information.

401-4889-00L 12 Credits DR , MSC , NDS D-USYS , D-BAUG , D-MAVT , D-INFK , D-MTEC , D-MATH , D-BIOL , D-GESS , D-ITET , D-ARCH , D-CHAB
You're viewing possible stale or outdated data. Please check the latest semester for more up-to-date information.

Mathematical Finance

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

Last Updated: 2026-02-05 15:14:57

Abstract

Introduction to mathematical finance:- absence of arbitrage and martingale measures- option pricing and hedging- optimal investment problems- additional topics

Objective

High-level introduction to mathematical finance, presupposing knowledge in probability theory and stochastic processes

Content

This is a high-level introduction to mathematical finance for students with a good background in probability. We intend to study both discrete- and continuous-time models. Topics include absence of arbitrage and martingale measures, option pricing and hedging, optimal investment problems, and probably others. Prerequisites are probability theory and stochastic processes.

Resources

Lecture Notes

Details will be announced in the course.

Literature

Details will be announced in the course.

General Information

Language
English
Levels
DR , MSC , NDS
Frequency
Yearly recurring

Examination

Type
session examination
Mode
oral 30 minutes

Course Components

Type Title Time & Place Hours
lecture Mathematical Finance
  • Thu 08:15-10:00 (HG E 1.1)
  • Fri 15:15-17:00 (HG G 3)
4 h weekly
exercise Mathematical Finance
  • Mon 13:15-15:00 (HG E 1.2)
  • Mon 13:15-15:00 (HG F 26.5)
  • Mon 15:15-17:00 (HG D 7.2)
2 h weekly

Offered In