Lecturer

Dylan Possamaï

Coordinator

Mateo Rodriguez Polo

Course Catalog

401-4889-00L

Lectures

Tuesday	10:15-12:00	ML F 36
Thursday	10:15-12:00	ML F 36

Exercise Classes

The first exercise class is on September 26, during the second week of the semester.

Friday

8:15-10:00

HG D 3.2

Course organisation

Lectures and exercise classes are scheduled to be in-person (except if explicitly stated otherwise). There will be no recordings.

Content

This is an advanced course on mathematical finance for students with a good background in probability. We want to give an overview of the main concepts, questions and approaches, and we do this mostly in continuous-time models.

Topics to be covered include:

• semimartingales and general stochastic integration
• absence of arbitrage and martingale measures
• fundamental theorem of asset pricing
• option pricing and hedging
• hedging duality
• optimal investment problems
• additional topics

Lecture notes are available here (NEW: Including Measure Thery notes). Registered students will receive the required password via email. Please note that the notes often go beyond the lectures, though only the material covered in class and during the exercise sessions is examinable.

UPDATE: Recordings for the last week's lectures can be found here as well.

Prerequisites

The prerequisites are being familiar with the content of the following courses:

• Probability Theory
• Brownian Motion and Stochastic Calculus

Additionally, this course is the second of a sequence of two courses on mathematical finance. The first course "Introduction to Mathematical Finance" (MF I), 401-3888-00L, focuses on models in finite discrete time. It is advisable, but not required, that the course MF I is taken prior to the present course. For an overview of courses offered in the area of mathematical finance, see Link.

Office hours

The assistants of Group 3 (Probability Theory, Insurance Mathematics and Stochastic Finance) offer regular office hours for questions about 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.

Exercises

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, it is strongly encouraged to solve the exercises. In case you decide to submit your solutions, you can upload your solutions as a single PDF file named {email address}_{assignment number in two digit format}.pdf (e.g. akolmogorov@student.ethz.ch_01.pdf) using this link. Marked solutions will be returned via e-mail. Registered students will receive the required password via email.