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 Autumn Semester 2018

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
364-1058-00LRisk Center Seminar Series Restricted registration - show details
Number of participants limited to 50.
0 credits2SB. Stojadinovic, D. Basin, A. Bommier, D. N. Bresch, L.‑E. Cederman, P. Cheridito, H. Gersbach, H. R. Heinimann, M. Larsson, G. Sansavini, F. Schweitzer, D. Sornette, B. Sudret, U. A. Weidmann, S. Wiemer, M. Zeilinger, R. Zenklusen
AbstractThis course is a mixture between a seminar primarily for PhD and postdoc students and a colloquium involving invited speakers. It consists of presentations and subsequent discussions in the area of modeling complex socio-economic systems and crises. Students and other guests are welcome.
ObjectiveParticipants should learn to get an overview of the state of the art in the field, to present it in a well understandable way to an interdisciplinary scientific audience, to develop novel mathematical models for open problems, to analyze them with computers, and to defend their results in response to critical questions. In essence, participants should improve their scientific skills and learn to work scientifically on an internationally competitive level.
ContentThis course is a mixture between a seminar primarily for PhD and postdoc students and a colloquium involving invited speakers. It consists of presentations and subsequent discussions in the area of modeling complex socio-economic systems and crises. For details of the program see the webpage of the colloquium. Students and other guests are welcome.
Lecture notesThere is no script, but a short protocol of the sessions will be sent to all participants who have participated in a particular session. Transparencies of the presentations may be put on the course webpage.
LiteratureLiterature will be provided by the speakers in their respective presentations.
Prerequisites / NoticeParticipants should have relatively good mathematical skills and some experience of how scientific work is performed.
401-4912-11LTrends in Stochastic Portfolio Theory4 credits2VM. Larsson
AbstractThis course presents an introduction to Stochastic Portfolio Theory, which
provides a mathematical framework for studying and exploiting empirically
observed regularities of large equity markets. A central goal of the theory is
to describe certain forms of arbitrage that arise over sufficiently long time
horizons.
Objective
ContentThis course presents an introduction to Stochastic Portfolio Theory, which
provides a mathematical framework for studying and exploiting empirically
observed regularities of large equity markets. A central goal of the theory is
to describe certain forms of arbitrage that arise over sufficiently long time
horizons. Since it was first introduced by Robert Fernholz almost 20 years ago,
the theory has experienced rapid developments. This course will cover the
foundations of Stochastic Portfolio Theory, including topics like relative
arbitrage, functional portfolio generation, and capital distribution curves, as
well as more recent developments.
Prerequisites / NoticePrerequisites: Familiarity with Ito calculus at the level of Brownian Motion
and Stochastic Calculus. Some background in mathematical finance is helpful.

A course with similar content was offered in HS 2015 under the title "New Trends in Stochastic Portfolio Theory".