Introduction to Mathematical Finance Spring 2021

Dylan Possamaï (dylan.possamai(AT)
Zhouyi Tan (zhouyi.tan(AT)
Online Lectures
Updates every Monday: Recordings
Online Exercise classes
Wednesday 14:15-15:00. Start from the second week of the semester.
Course catalogue
401-3888-00L Introduction to Mathematical Finance


This is an introductory course on the mathematics for investment, hedging, portfolio management, asset pricing and financial derivatives in discrete-time financial markets. We discuss arbitrage, completeness, risk-neutral pricing and utility maximisation. We prove the fundamental theorem of asset pricing and the hedging duality theorems, and also study convex duality in utility maximization.

A related course is 401-3913-01L Mathematical Foundations for Finance (3V+2U, 4 ECTS credits). Although both courses can be taken independently of each other, only one will be recognised for credits in the Bachelor and Master degree. In other words, it is not allowed to earn credit points with one for the Bachelor and with the other for the Master degree.


A knowledge of measure-theoretic probability theory (as taught e.g. in the course "Probability Theory").
This course is the first of a sequence of two courses on mathematical finance. The second course "Mathematical Finance" (MF II), 401-4889-00, focuses on continuous-time models. It is advisable that the present course, MF I, is taken prior to MF II. For an overview of courses offered in the area of mathematical finance, see link.

Office hours

We will mainly use D-Math Forum to answer questions. Please sign up for an account (your or email is required). The assistants of Group 3 (Probability Theory, Insurance Mathematics and Stochastic Finance) offer regular office hours for questions on courses and exercises taught by the professors in the group. See here for the detailed information.

Lecture notes

Lecture notes covering the material addressed during the lectures will be made available to the students in the Polybox folder. The link to the Polybox folder has been sent to you by mail. You will receive the password from the lecturer. Please note that the content of the notes sometimes goes beyond that of the lectures, though only the material covered in class and during the exercise sessions is exigible.