ETH Zürich - D-MATH - SFG (Stochastic Finance Group) - HOME - update on 2022-12-29

Mathematical Finance 2020

This year most of the lecture will be available via slides and every lecture will be recorded. Links will be sent to registered participants. The slides will be made available on this page at the end of each week.

Find here the material of the first three weeks of the lecture course. A fourth draft of the lecture notes from 2013 and 2017 together with the exam questions can be found here. Three ipython notebooks on learning arbitrages, generating portfolios and simulating semi-martingales are provided. Several examples from my course Machine Learning in Finance are used to illustrate concepts and to demonstrate the effectiveness of machine learning technology in Finance.

Please notice that parts of the lecture will be considerably different from these notes (sometimes simpler), also the following articles will play a major role in the exposition: