# 401-4889-00L Mathematical Finance

Semester | Autumn Semester 2016 |

Lecturers | M. Schweizer |

Periodicity | yearly course |

Language of instruction | English |

Abstract | Advanced introduction to mathematical finance: - absence of arbitrage and martingale measures - option pricing and hedging - optimal investment problems - additional topics |

Objective | Advanced level introduction to mathematical finance, presupposing knowledge in probability theory and stochastic processes |

Content | This 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 notes | None available |

Literature | Details will be announced in the course. |

Prerequisites / Notice | Prerequisites are probability theory and stochastic processes (for which lecture notes are available). |