|
Lecturer |
Prof. H. Mete Soner |
Lectures |
Tuesday
Thursday |
8-10 8-10 |
HG E 33.1 HG E 33.1 |
Assistants |
Matti Kiiski & Ren Liu |
Problem sessions |
Friday |
8-10 |
HG D 3.2 |
First lecture
Tuesday 15/09/2015
First exercise class
Friday 18/09/2015
Lecture:
Prof. H. Mete Soner
Office: HG G 54.3
Office Hours: by appointment
e-mail: hmsoner@ethz.ch
Problem Session:
Matti Kiiski & Ren Liu
Office: HG G 47.2
Office Hours: to be arranged
e-mail: firstname.lastname@math.ethz.ch
This course focuses on continuous time financial markets and requires a basic knowledge of measure theoretic probability theory and stochastic processes.
The tentative list of lectures are given below and provides a detailed list of the topics that will be covered.
For discrete time and general information the following books are useful.
For more about discrete time models, see last years course Introduction to Mathematical Finance.
Continuous time mathematical finance:
Supplementary material:
Stochastic calculus in a nutshell (by Martin Blais).
Lecture 14 was based on the survey article by Walter Schachermayer.
Lecture 23 was based on the article by Jaksa Cvitanic and Ioannis Karatzas.
The etymology of the word martingale.
Ex. 1-1 b) iii) solution details
Lecture |
Date |
Topic |
1 |
15.09.2015 |
Introduction and Brief Summary of Discrete Time models |
2 |
17.09.2015 |
Financial markets and relevant concepts |
3 | 22.09.2015 |
Arbitrage and Martingale Measures |
4 | 24.09.2015 | Fundamental Theorem of Asset Pricing |
5 | 29.09.2015 | Black & Scholes Model |
6 | 01.10.2015 | Options and Marginals |
7 |
06.10.2015 |
Convex Analysis and Fenchel-Moreau Theorem |
8 | 08.10.2015 | Pricing and Hedging |
9 | 13.10.2015 | American Options |
10 | 15.10.2015 | Levy Processes |
11 | 20.10.2015 |
No Class |
12 |
22.10.2015 |
No Class |
13 | 27.10.2015 | Heston Model |
14 | 29.10.2015 | Utility maximization and duality |
15 | 03.11.2015 | Stochastic Optimal Control - introduction |
16 | 05.11.2015 | Merton Problem |
17 | 10.11.2015 | Markets with Transaction Costs |
18 | 12.11.2015 | Markets with Transaction Costs |
19 | 17.11.2015 | Asymptotic methods |
20 | 19.11.2015 | Asymptotic methods |
21 |
24.11.2015 |
Backward Stochastic Differential Equations (BSDE) |
22 | 26.11.2015 | BSDE's and utility maximization |
23 | 01.12.2015 | Risk measures |
24 | 03.12.2015 | Risk measures and BSDE's |
25 | 08.12.2015 | Interest rate theory |
26 | 10.12.2015 | Interest rate theory |
27 | 15.12.2015 | Interest rate theory |
28 | 17.12.2015 | Interest rate theory |
We will provide bi-weekly homework assignments. Students are advised to study them in a timely manner. You will find the exercises here.
There are regular assistant hours ("Präsenz") on Mondays and Thursdays, 12:00-13:00 in HG G 32.6.
There will be a 30 minutes long oral examination at the end of the semester.
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