This course gives a first introduction to important modelling ideas and mathematical tools from quantitative finance. It is aimed mainly 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 mathematical 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:
Results and facts from measure-theoretic probability theory as 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. In the lecture notes, Chapter 8 (which will not be presented in class) has a short overview of frequently used concepts.
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.
Lectures take place live on Tuesdays 8:00-10:00 and Thursdays 13:00-14:00, in HG G5. There will be no recordings.
The first lecture is on September 20.
The lecture notes can be found online here. The password will be emailed to the enrolled students.
Note that the lecture notes are protected by copyright, and their dissemination in any form is strictly prohibited.
Exercise classes take place live on Fridays 8:00-10:00 (for last names A-L) and 10:00-12:00 (for last names M-Z), in HG D5.2.
The first exercise class is on September 23, in the first week of the semester.
New exercise sheets are uploaded below on Wednesdays before the corresponding Friday exercise class, along with solutions to the exercise sheet from the previous week.
While handing in your solutions is not compulsory, experience shows that being able to solve the exercises independently goes a long way towards good exam performance. We strongly encourage you to hand in written solutions. This can be done electronically. Please follow the instructions below.
Exercise Sheet | Due by | Solutions |
---|---|---|
Exercise Sheet 1 | September 28, 2022 | Solution 1 |
Exercise Sheet 2 | October 5, 2022 | Solution 2 |
Exercise Sheet 3 | October 12, 2022 | Solution 3 |
Exercise Sheet 4 | October 19, 2022 | Solution 4 |
Exercise Sheet 5 | October 26, 2022 | Solution 5 |
Exercise Sheet 6 | November 2, 2022 | Solution 6 |
Exercise Sheet 7 | November 9, 2022 | Solution 7 |
Exercise Sheet 8 | November 16, 2022 | Solution 8 |
Exercise Sheet 9 | November 23, 2022 | Solution 9 |
Exercise Sheet 10 | November 30, 2022 | Solution 10 |
Exercise Sheet 11 | December 7, 2022 | Solution 11 |
Exercise Sheet 12 | December 14, 2022 | Solution 12 |
Exercise Sheet 13 | December 21, 2022 | Solution 13 |
Exercise Sheet 14 | Not for hand-in | Solution 14 |
Office hours during the semester with assistants from group 3 are available on Mondays and Thursdays starting from the fourth week of the semester. More information can be found here. Note that you can also ask questions during the exercise classes.
The forum for this course can be found here.
The grade for this course is based solely on the (written) final exam. The exam will cover all the material discussed during the lectures and all the material from the exercise sheets (except if explicitly stated otherwise).
Some old exams can be found here. However, note that past experience shows that preparing from old exams only could well not be enough to ensure a passing grade.
Details on how and when to view your marked exam can be found here.
Office hours during the winter break with assistants from group 3 will be available in the last two weeks before the exam session. More information can be found here.