Mathematical Foundations for Finance Fall 2018

Lecturer
Prof. Dr. Erich Walter Farkas, Prof. Dr. Martin Schweizer
Coordinator
Martin Stefanik

Course Description

This course gives a first introduction to the main modelling ideas and mathematical tools from mathematical finance. It mainly aims at non-mathematicians who need an introduction to the main tools from stochastics used in mathematical finance. However, mathematicians who want to learn some basic modelling ideas and concepts for quantitative finance (before continuing with a more advanced course) may also find this of interest. The main emphasis will be on ideas, but important results will be given with (sometimes partial) proofs.

Topics to be covered include

Lecture notes that will be closely followed during the lectures will be sold during the break before the beginning of the second lecture on September 24 and during the Präsenz hours for CHF20. The lecture notes will not be available in electronic form.

Prerequisites

Results and facts from measure-theoretic probability theory as given in the book Probability Essentials by Jean Jacod and Philip Protter will be used freely. The book can be downloaded from Springer (within the ETH network or using VPN) for free. Especially participants without a direct mathematical background are strongly advised to familiarise themselves with those tools before (or very quickly during) the course.

A possible alternative to the above textbook is the English or German version of the ETH lecture notes for the standard course on Probability Theory. These lecture notes can also be purchased during the Präsenz hours.

For those who are not sure about their background, we suggest to have a look at the exercises in Chapters 8, 9, 22-25, 28 in the Probability Essentials book. If these pose problems, you will have a hard time during the course. So be prepared.

TimeRoomLecturer
Monday 13:00-14:00 HG D 1.1 usually Prof. Dr. Walter Farkas
Tuesday 12:00-14:00HG D 1.1 usually Prof. Dr. Walter Farkas

Schedule

TimeRoomAssistantStudents
Friday 08:00-10:00 HG D 7.1 Martin Stefanik A-G
Friday 08:00-10:00 LFW E 13 David Martins H-O
Friday 10:00-12:00 LFW E 13 Balint Gersey P-Z

Exercise Sheets

New exercise sheets will be uploaded here on Tuesdays before the exercise class along with a model solution to the exercise sheet from the previous week.

Note that handing in your solutions is not obligatory, but being able to solve the exercises independently goes a long way towards good exam performance. In case you decide to do so, please hand in your solutions by the following Tuesday 18:00 to your assistant's box next to HG G 53.2. Your solutions will be corrected and returned in the following exercise class or, if not collected, returned to the box next to HG G 53.2.

Exercise sheet Due by Solutions
Exercise sheet 1 September 25, 2018 Solution sheet 1
Exercise sheet 2 October 2, 2018 Solution sheet 2
Exercise sheet 3 October 9, 2018 Solution sheet 3
Exercise sheet 4 October 16, 2018 Solution sheet 4
Exercise sheet 5 October 23, 2018 NA

Additional Material

Exercise class Material
Exercise 1 (September 21, 2018) Slides 1
Exercise 2 (September 28, 2018) Slides 2
Exercise 3 (October 5, 2018) Slides 3
Exercise 4 (October 12, 2018) Slides 4

Your grade for the course will be based solely on the written final exam. The exam will cover all material discussed during the lectures and the exercise classes.

Some old exams can be found here on the homepage of Group 3, but students are highly discouraged from preparing from the old exams only. It will not be enough to ensure a passing grade.

For questions before the exam, please use the semester break Präsenz.

During the second and the third week of the semester after the exam, you have the possibility to look at your exam during the regular Präsenz hours.

For computational aspects, you can consult for example the following books: