# Martin Schweizer: Catalogue data in Autumn Semester 2016

Name | Prof. Dr. Martin Schweizer |

Field | Mathematik |

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 |

martin.schweizer@math.ethz.ch | |

URL | http://www.math.ethz.ch/~mschweiz |

Department | Mathematics |

Relationship | Full Professor |

Number | Title | ECTS | Hours | Lecturers | |
---|---|---|---|---|---|

401-3913-01L | Mathematical Foundations for Finance | 4 credits | 3V + 2U | E. W. Farkas, M. Schweizer | |

Abstract | First introduction to main modelling ideas and mathematical tools from mathematical finance | ||||

Objective | This 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. | ||||

Content | Topics 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 notes | Lecture notes will be sold at the beginning of the course. | ||||

Literature | Lecture notes will be sold at the beginning of the course. Additional (background) references are given there. | ||||

Prerequisites / Notice | Prerequisites: 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. | ||||

401-4889-00L | Mathematical Finance | 11 credits | 4V + 2U | M. Schweizer | |

Abstract | Advanced introduction to mathematical finance: - absence of arbitrage and martingale measures - option pricing and hedging - optimal investment problems - 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, and probably others. Prerequisites are probability theory and stochastic processes (for which lecture notes are available). | ||||

Lecture notes | None available | ||||

Literature | Details will be announced in the course. | ||||

Prerequisites / Notice | Prerequisites are probability theory and stochastic processes (for which lecture notes are available). | ||||

401-5910-00L | Talks in Financial and Insurance Mathematics | 0 credits | 1K | P. Cheridito, M. Schweizer, M. Soner, J. Teichmann, M. V. Wüthrich | |

Abstract | Research colloquium | ||||

Objective | |||||

Content | Regular research talks on various topics in mathematical finance and actuarial mathematics |