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401-4889-00L  Mathematical Finance

SemesterAutumn Semester 2016
LecturersM. Schweizer
Periodicityyearly recurring course
Language of instructionEnglish

Catalogue data

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).

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits11 credits
ExaminersM. Schweizer
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is offered every session. Repetition possible without re-enrolling for the course unit.
Mode of examinationoral 30 minutes
This information can be updated until the beginning of the semester; information on the examination timetable is binding.

Learning materials

DocumentsExercise Sheets
Only public learning materials are listed.


401-4889-00 VMathematical Finance4 hrs
Tue08-10HG G 19.1 »
Thu08-10HG G 19.1 »
M. Schweizer
401-4889-00 UMathematical Finance2 hrs
Fri10-12HG D 1.1 »
M. Schweizer


No information on groups available.


There are no additional restrictions for the registration.

Offered in

Doctoral Department of MathematicsGraduate SchoolWInformation
Mathematics MasterCore Courses: Applied Mathematics and Further Appl.-Oriented FieldsWInformation
Quantitative Finance MasterMathematical Methods for FinanceWInformation