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401-8908-00L 4.5 Credits BSC , MSC , NDS D-MATH

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Mathematical Finance and Derivatives

Lecturers & Examiners: Prof. Dr. Marc Chesney

VVZ CR n/a

Last Updated: 2026-02-05 15:29:12

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 , MSC , NDS
Frequency: Yearly recurring

Examination

Type: end-of-semester examination

No repetition possible.

Course Components

Type	Title	Time & Place	Hours
lecture	Mathematical Finance and Derivatives Kurs an der Uni Zürich Ort: PLM 1 103/104	Mon 13:00-15:45 Mon None-None	3 h weekly

Offered In

Mathematics Bachelor
- Core Courses and Electives
  - Electives
Mathematics Master
- Core Courses and Electives
  - Electives
    - Electives: Applied Mathematics and Further Application-Oriented Fields (¬)
MAS in Finance (For information and admission (and possibly more up-to-date information about the courses) see .)
- Mandatory Courses (In addition to the two type O courses participants have to follow at least one of the three type W courses.)