Monday (bi-weekly) | 12:15-14 | HG G 5 |
Tuesday | 08:15-10 | HG G 5 |
Friday | 08:15-10 | HG D 5.2 | Sharon Puthuparambil |
Friday | 10:15-12 | HG D 5.2 | Chiara Rossato |
This course gives a first introduction to the main modelling ideas and mathematical tools from mathematical finance. It aims 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 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 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 familiarize themselves with those tools before (or very quickly during) the course.
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.
The assistants of Group 3 (Probability Theory, Insurance Mathematics and Stochastic Finance) offer regular office hours for questions on courses and exercise classes taught by the professors in the group. Click here for more information. Note that you can also ask questions during the exercise classes.
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.
Even though it is not compulsory, you are strongly encouraged to solve the exercises and hand in your solutions. This can be done electronically. Please follow the instructions below.
Exercise sheet | Due by | Solutions |
---|---|---|
Exercise sheet 1 | October 4, 2023 | Solutions 1 |
Exercise sheet 2 | October 11, 2023 | Solutions 2 |
Exercise sheet 3 | October 18, 2023 | Solutions 3 |
Exercise sheet 4 | October 25, 2023 | Solutions 4 |
Exercise sheet 5 | November 1, 2023 | Solutions 5 |
Exercise sheet 6 | November 8, 2023 | Solutions 6 |
Exercise sheet 7 | November 15, 2023 | Solutions 7 |
Exercise sheet 8 | November 22, 2023 | Solutions 8 |
Exercise sheet 9 | November 29, 2023 | Solutions 9 |
Exercise sheet 10 | December 6, 2023 | Solutions 10 |
Exercise sheet 11 | December 13, 2023 | Solutions 11 |
Exam Simulation | December 17, 2023 | Solutions Exam Simulation |