401-3956-00L  Economic Theory of Financial Markets

SemesterAutumn Semester 2014
LecturersM. V. Wüthrich
Periodicitytwo-yearly course
Language of instructionEnglish

AbstractThis lecture provides an introduction to economic theory of financial markets.
It aims at providing the basics in fundamental financial concepts to insurance mathematicians and actuaries.
ObjectiveThis lecture provides an introduction to the fundamental concepts in financial markets and pricing of financial instruments. The main focus is to give an actuarial education and training in portfolio theory, cash flow theory and deflator techniques.
ContentWe treat the following topics:
- Fundamental concepts in economics
- Portfolio theory
- Mean variance analysis, CAPM
- Arbitrage pricing theory
- Cash flow theory
- Valuation principles
- Stochastic discounting, deflator techniques
- Interest rate modeling
- Utility theory
Prerequisites / NoticeThe exams ONLY take place during the official ETH examination period.

This course will be held in English and counts towards the diploma of "Aktuar SAV".
For the latter, see details under www.actuaries.ch.

Knowledge in probability theory, stochastic processes and statistics is assumed.