Advanced Topics in Mathematical Finance (L) (03SM22MO0277)
Description
General description:
This course provides an introduction to reinforcement learning for finance applications.
Lecture room:
ETH-Zentrum, HG G19.2;
exception: on 01.10.2026 in HG E33.3
Learning goals:
Basic concepts and ideas for reinforcement learning with the aim to apply this to problems from finance; main emphasis will be on theoretical groundwork.
Audience:
Master students in the MScQF; in addition also Master students in mathematics from ETHZ or UZH.
Course materials:
Relevant literature will be provided later; most likely there will be no lecture notes.
ETHZ students:
See also link in ETHZ course catalogue, and note the deadlines (Buchungsfrist) below.
Dates
0219
Advanced Topics in Mathematical Finance (L)
03VL22MO0277
from 24.09.2026
until 10.12.2026
plus 07.01.2027
until 10.12.2026
plus 07.01.2027
Thursdays 14:15-16:00
07.01.2027 (exam) 14:00-18:00
07.01.2027 (exam) 14:00-18:00
Lecturer:
Martin Schweizer
Martin Schweizer
ETH-Zentrum, HG G19.2
Course requirements
Conditions:
None except having the required prerequisites.
Prerequisites:
Measure-theoretic probability at the level of the book by Jacod/Protter; some knowledge of mathematical finance concepts; basics of stochastic control will be helpful, but are not strictly required.
Criterion for ECTS:
Oral exam of 20 minutes, no aids allowed.
Grading scale:
1-6, in steps of 0.25
Repetition:
can be repeated once
Organisation (UZH specifics, in German)
Angebotsmuster:
1-semestrig (einmalig)
Buchungsfrist:
von Mi 12.08.2026 10:00 bis Di 06.10.2026 24:00
Stornierungsfrist:
von Mi 12.08.2026 10:00 bis Di 06.10.2026 24:00
Organisation:
Department of Finance
Modulverantwortlicher:
Erich Walter Farkas
Angeboten im:
Herbstsemester 2026