Autumn Semester 2020 takes place in a mixed form of online and classroom teaching.
Please read the published information on the individual courses carefully.

Martin Larsson: Catalogue data in Spring Semester 2017

Name Dr. Martin Larsson
FieldMathematical Finance
Address
Professur für Finanzmathematik
ETH Zürich, HG G 67.2
Rämistrasse 101
8092 Zürich
SWITZERLAND
E-mailmartin.larsson@math.ethz.ch
URLhttp://www.math.ethz.ch/~larssonm
DepartmentMathematics
RelationshipAssistant Professor

NumberTitleECTSHoursLecturers
401-3642-00LBrownian Motion and Stochastic Calculus10 credits4V + 1UM. Larsson
AbstractThis course covers some basic objects of stochastic analysis. In particular, the following topics are discussed: construction and properties of Brownian motion, stochastic integration, Ito's formula and applications, stochastic differential equations and connection with partial differential equations.
ObjectiveThis course covers some basic objects of stochastic analysis. In particular, the following topics are discussed: construction and properties of Brownian motion, stochastic integration, Ito's formula and applications, stochastic differential equations and connection with partial differential equations.
Lecture notesLecture notes will be distributed in class.
Literature- I. Karatzas, S. Shreve, Brownian Motion and Stochastic Calculus, Springer (1991).
- D. Revuz, M. Yor, Continuous Martingales and Brownian Motion, Springer (2005).
- L.C.G. Rogers, D. Williams, Diffusions, Markov Processes and Martingales, vol. 1 and 2, Cambridge University Press (2000).
- D.W. Stroock, S.R.S. Varadhan, Multidimensional Diffusion Processes, Springer (2006).
Prerequisites / NoticeFamiliarity with measure-theoretic probability as in the standard D-MATH course "Probability Theory" will be assumed. Textbook accounts can be found for example in
- J. Jacod, P. Protter, Probability Essentials, Springer (2004).
- R. Durrett, Probability: Theory and Examples, Cambridge University Press (2010).