Martin Schweizer: Katalogdaten im Frühjahrssemester 2018

NameHerr Prof. Dr. Martin Schweizer
LehrgebietMathematik
Adresse
Professur für Mathematik
ETH Zürich, HG G 51.2
Rämistrasse 101
8092 Zürich
SWITZERLAND
Telefon+41 44 632 33 51
Fax+41 44 632 14 74
E-Mailmartin.schweizer@math.ethz.ch
URLhttp://www.math.ethz.ch/~mschweiz
DepartementMathematik
BeziehungOrdentlicher Professor

NummerTitelECTSUmfangDozierende
401-3888-00LIntroduction to Mathematical Finance Information
Ein verwandter Kurs ist 401-3913-01L Mathematical Foundations for Finance (3V+2U, 4 ECTS-KP). Obwohl beide Kurse unabhängig voneinander belegt werden können, darf nur einer ans gesamte Mathematik-Studium (Bachelor und Master) angerechnet werden.
10 KP4V + 1UM. Schweizer
KurzbeschreibungThis is an introductory course on the mathematics for investment, hedging, portfolio management, asset pricing and financial derivatives in discrete-time financial markets. We discuss arbitrage, completeness, risk-neutral pricing and utility maximisation. We prove the fundamental theorem of asset pricing and the hedging duality theorems, and also study convex duality in utility maximization.
LernzielThis is an introductory course on the mathematics for investment, hedging, portfolio management, asset pricing and financial derivatives in discrete-time financial markets. We discuss arbitrage, completeness, risk-neutral pricing and utility maximisation, and maybe other topics. We prove the fundamental theorem of asset pricing and the hedging duality theorems in discrete time, and also study convex duality in utility maximization.
InhaltThis course focuses on discrete-time financial markets. It presumes a knowledge of measure-theoretic probability theory (as taught e.g. in the course "Probability Theory"). The course is offered every year in the Spring semester.

This course is the first of a sequence of two courses on mathematical finance. The second course "Mathematical Finance" (MF II), 401-4889-00, focuses on continuous-time models. It is advisable that the present course, MF I, is taken prior to MF II.

For an overview of courses offered in the area of mathematical finance, see https://www.math.ethz.ch/imsf/education/education-in-stochastic-finance/overview-of-courses.html.
SkriptThe course is based on different parts from different textbooks as well as on original research literature. Lecture notes will not be available.
LiteraturLiterature:

Michael U. Dothan, "Prices in Financial Markets", Oxford University Press

Hans Föllmer and Alexander Schied, "Stochastic Finance: An Introduction in Discrete Time", de Gruyter

Marek Capinski and Ekkehard Kopp, "Discrete Models of Financial Markets", Cambridge University Press

Robert J. Elliott and P. Ekkehard Kopp, "Mathematics of Financial Markets", Springer
Voraussetzungen / BesonderesNOTE: Due to personal (health) reasons, this course is offered in concentrated form during the second half of the semester. The course will start on *Monday, April 09, 2018*. Some extra information about possible preparation as well as extra references will be posted here later.

A related course is "Mathematical Foundations for Finance" (MFF), 401-3913-01. Although both courses can be taken independently of each other, only one will be given credit points for the Bachelor and the Master degree. In other words, it is also not possible to earn credit points with one for the Bachelor and with the other for the Master degree.

This course is the first of a sequence of two courses on mathematical finance. The second course "Mathematical Finance" (MF II), 401-4889-00, focuses on continuous-time models. It is advisable that the present course, MF I, is taken prior to MF II.

For an overview of courses offered in the area of mathematical finance, see https://www.math.ethz.ch/imsf/education/education-in-stochastic-finance/overview-of-courses.html.
401-5910-00LTalks in Financial and Insurance Mathematics Information 0 KP1KP. Cheridito, P. Embrechts, M. Schweizer, M. Soner, J. Teichmann, M. V. Wüthrich
KurzbeschreibungForschungskolloquium
LernzielEinfuehrung in aktuelle Forschungsthemen aus dem Bereich "Insurance Mathematics and Stochastic Finance".
Inhalthttps://www.math.ethz.ch/imsf/courses/talks-in-imsf.html