401-3913-01L  Mathematical Foundations for Finance

SemesterAutumn Semester 2012
LecturersE. W. Farkas, M. Schweizer
Periodicityyearly recurring course
Language of instructionEnglish



Courses

NumberTitleHoursLecturers
401-3913-00 VMathematical Foundations for Finance
**together with the Uni Zurich**
new room on Mondays (as of November 5, 2012): HG E 3
3 hrs
Mon14:15-16:00HG D 1.2 »
14:15-16:00HG E 3 »
Tue08:15-09:00HG E 1.1 »
E. W. Farkas, M. Schweizer
401-3913-00 UMathematical Foundations for Finance
**together with the Uni Zurich**
2 hrs
Fri08:15-10:00HG D 3.2 »
08:15-10:00HG E 3 »
E. W. Farkas, M. Schweizer

Catalogue data

AbstractFirst introduction to main modelling ideas and mathematical tools from mathematical finance
ObjectiveThis 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.
ContentTopics 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 notesLecture notes will be sold at the beginning of the course.
LiteratureLecture notes will be sold at the beginning of the course. Additional (background) references are given there.
Prerequisites / NoticePrerequisites: 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.

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits4 credits
ExaminersE. W. Farkas, M. Schweizer
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is offered every session. Repetition possible without re-enrolling for the course unit.
Mode of examinationwritten 180 minutes
Written aidskeine Hilfsmittel / no aiding materials allowed
This information can be updated until the beginning of the semester; information on the examination timetable is binding.

Learning materials

No public learning materials available.
Only public learning materials are listed.

Groups

No information on groups available.

Restrictions

There are no additional restrictions for the registration.

Offered in

ProgrammeSectionType
Mathematics BachelorSelection: Financial and Insurance MathematicsWInformation
Mathematics MasterSelection: Financial and Insurance MathematicsWInformation
Quantitative Finance MasterMathematical Methods for FinanceWInformation
Computational Science and Engineering BachelorFinancial EngineeringWInformation
Computational Science and Engineering MasterFinancial EngineeringWInformation
Statistics MasterStatistical and Mathematical CoursesWInformation