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401-4889-00L 12 Credits DR , MSC , NDS D-USYS , D-BAUG , D-MAVT , D-INFK , D-MTEC , D-MATH , D-PHYS , D-BIOL , D-ERDW , D-GESS , D-ITET , D-ARCH , D-CHAB
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Mathematical Finance

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

Last Updated: 2026-02-05 15:25:10

Abstract

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

Objective

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

Content

This is an advanced level introduction to mathematical finance for students with a good background in probability. We want to give an overview of main concepts, questions and approaches, and we do this in both discrete- and continuous-time models. Topics include absence of arbitrage and martingale measures, option pricing and hedging, optimal investment problems, basic notions of fixed income markets, and perhaps others. Prerequisites are probability theory and stochastic processes (for which lecture notes are available).

Resources

Lecture Notes

None available

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
  • Wed 13:15-15:00 (HG D 1.1)
  • Thu 08:15-10:00 (HG F 3)
4 h weekly
exercise Mathematical Finance
  • Wed 08:15-10:00 (HG D 3.2)
2 h weekly

Offered In