The spring semester 2021 will take place online until further notice. Exceptions: Courses that can only be carried out with on-site presence. Please note the information provided by the lecturers.

Martin Schweizer: Catalogue data in Autumn Semester 2016

Name Prof. Dr. Martin Schweizer
FieldMathematik
Address
Professur für Mathematik
ETH Zürich, HG G 51.2
Rämistrasse 101
8092 Zürich
SWITZERLAND
Telephone+41 44 632 33 51
Fax+41 44 632 14 74
E-mailmartin.schweizer@math.ethz.ch
URLhttp://www.math.ethz.ch/~mschweiz
DepartmentMathematics
RelationshipFull Professor

NumberTitleECTSHoursLecturers
401-3913-01LMathematical Foundations for Finance4 credits3V + 2UE. W. Farkas, M. Schweizer
AbstractFirst introduction to main modelling ideas and mathematical tools from mathematical finance
ObjectiveThis course gives a first introduction to the main modelling ideas and mathematical tools from mathematical finance. It aims at a double audience: mathematicians who want to learn the modelling ideas and concepts for finance, and non-mathematicians who need an introduction to the main tools from stochastics used in mathematical finance. The main emphasis will be on ideas, but important results will be given with (sometimes partial) proofs.
ContentTopics to be covered include

- financial market models in finite discrete time
- absence of arbitrage and martingale measures
- valuation and hedging in complete markets
- basics about Brownian motion
- stochastic integration
- stochastic calculus: Itô's formula, Girsanov transformation, Itô's representation theorem
- Black-Scholes formula
Lecture notesLecture notes will be sold at the beginning of the course.
LiteratureLecture notes will be sold at the beginning of the course. Additional (background) references are given there.
Prerequisites / NoticePrerequisites: Results and facts from probability theory as in the book "Probability Essentials" by J. Jacod and P. Protter will be used freely. Especially participants without a direct mathematics background are strongly advised to familiarise themselves with those tools before (or very quickly during) the course. (A possible alternative to the above English textbook are the (German) lecture notes for the standard course "Wahrscheinlichkeitstheorie".)

For those who are not sure about their background, we suggest to look at the exercises in Chapters 8, 9, 22-25, 28 of the Jacod/Protter book. If these pose problems, you will have a hard time during the course. So be prepared.
401-4889-00LMathematical Finance11 credits4V + 2UM. Schweizer
AbstractAdvanced introduction to mathematical finance:
- absence of arbitrage and martingale measures
- option pricing and hedging
- optimal investment problems
- additional topics
ObjectiveAdvanced level introduction to mathematical finance, presupposing knowledge in probability theory and stochastic processes
ContentThis 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, and probably others.
Prerequisites are probability theory and stochastic processes (for which lecture notes are available).
Lecture notesNone available
LiteratureDetails will be announced in the course.
Prerequisites / NoticePrerequisites are probability theory and stochastic processes (for which lecture notes are available).
401-5910-00LTalks in Financial and Insurance Mathematics Information 0 credits1KP. Cheridito, M. Schweizer, M. Soner, J. Teichmann, M. V. Wüthrich
AbstractResearch colloquium
Objective
ContentRegular research talks on various topics in mathematical finance and actuarial mathematics