Fiches de cours 2017-2018

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Martingales in financial mathematics

MATH-470

Enseignant(s) :

Schmutz Michael

Langue:

English

Summary

The aim of the course is to apply the theory of martingales in the context of mathematical finance. The course provides a detailed study of the mathematical ideas that are used in modern financial mathematics. Moreover, the concepts of complete and incomplete markets are discussed.

Content

              - Fundamental results

              - Binomial- and trinomial model

              - The Snell envelope, optimal stopping, and American options

 

              - Option pricing and hedging

              - Exotic options

              - Local- and stochastic volatility models

              - Stochastic interest rates

              - Lévy driven models

              - New trends in financial mathematics          

Keywords

martingales, financial mathematics, theory of (no-)arbitrage

Learning Prerequisites

Recommended courses

Stochastic calculation

Important concepts to start the course

Stochastic calculation

 

Learning Outcomes

By the end of the course, the student must be able to:

Assessment methods

Exam oral

Dans le cas de l'art. 3 al. 5 du Règlement de section, l'enseignant décide de la forme de l'examen qu'il communique aux étudiants concernés.

Supervision

Office hours Yes
Assistants No
Forum No
Others Office hours: Friday, 13:00-14:00

Resources

Virtual desktop infrastructure (VDI)

No

Bibliography

Ressources en bibliothèque

Dans les plans d'études

Semaine de référence

 LuMaMeJeVe
8-9     
9-10     
10-11     
11-12     
12-13     
13-14     
14-15     
15-16     
16-17     
17-18     
18-19     
19-20     
20-21     
21-22     
En construction
 
      Cours
      Exercice, TP
      Projet, autre

légende

  • Semestre d'automne
  • Session d'hiver
  • Semestre de printemps
  • Session d'été
  • Cours en français
  • Cours en anglais
  • Cours en allemand