Lecturer

Prof. Dr. Dylan Possamaï

Coordinator

Calypso Herrera

Lectures

Tuesday 8:15-10:00 HG E 1.1
Thursday 8:15-10:00 ML F 36

Exercise classes

Friday 10:15-12:00 ML F 38
Start from the second week of the semester.

Course catalogue

401-4889-00L Mathematical Finance

Content

This is an advanced course on 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 mostly in continuous-time models.

Some of the topics are:

• semimartingales and general stochastic integration
• fundamental theorem of asset pricing
• option pricing and hedging
• hedging duality
• optimal investment problems

Prerequisites

Students are assumed to be familiar with the content of the standard courses:

• 401-3601-00L Probability Theory
• 401-3642-00L Brownian Motion and Stochastic Calculus

This course is the continuation of the Spring semester course

• 401-3888-00L Introduction to Mathematical Finance

which focuses on models in finite discrete time. Although that course is not required, students who have attended it will have an advantage in terms of the ideas and concepts, so it is advisable for students to attend that course before the present one, when possible.

For an overview of courses offered in the area of mathematical finance, see link. More information about the prerequisite (and other) courses is available on the Group 3 website.

Lecture notes covering the material addressed during the lectures, as well as the content from the aforementioned prerequisites will be made available to the students through Polybox (you will receive a link and a password when the semester starts). Please note that the content of the notes often goes beyond that of the lectures, though only the material covered in class and during the exercise sessions is exigible. The notes will also be updated throughout the semester.

Course organisation

Lectures are for their great majority scheduled to be in-person. A few lectures during the semester may be either via Zoom or pre-recorded, but you will be notified in advance when this happens. In any case, the lectures will systematically be either live-streamed (see https://video.ethz.ch/live/lectures.html), or recorded (see https://video.ethz.ch/lectures.html or the shared Polybox folder).

Exercises

You are welcome to hand in your solutions in Calypso Herrera's box in HG G 53.2, even though it is not obligatory. In case you decide to submit your solutions, this needs to be done before Tuesday 18:00 of the due date. Your solutions will be then corrected and returned in the following exercise class or, if not collected, returned to the box. The first exercise sheet will be uploaded on the webpage of the course on Tuesday 28th of September and you will have until Tuesday 5th of September to hand in your solution.

Recalls

You can find all the recalls that were distributed during the exercises classes in recalls.zip.