Cours
MATH-470: Martingales in financial mathematics
Cours associés (74)
MATH-205: Analysis IV - Lebesgue measure, Fourier analysis
Learn the basis of Lebesgue integration and Fourier analysis
MATH-467: Probabilistic methods in combinatorics
The 'probabilistic method' is a fundamental tool in combinatorics. The basic idea is as follows: to prove that an object (for example, graph) with certain properties exists, it suffices to prove that
PHYS-436: Statistical physics IV
Noise and fluctuations play a crucial role in science and technology. This course treats stochastic methods, applying them to both classical problems and quantum systems. It emphasizes the frameworks
FIN-609: Asset Pricing (2011 - 2024)
This course provides an overview of the theory of asset pricing and portfolio choice theory following historical developments in the field and putting
emphasis on theoretical models that help our unde
FIN-406: Macrofinance
This course provides students with a working knowledge of macroeconomic models that explicitly incorporate financial markets. The goal is to develop a broad and analytical framework for analyzing the
FIN-604: Financial Econometrics I
We provide a comprehensive overview of the econometric tools that are essential to estimate financial models, both for asset pricing and
for corporate finance.
FIN-423: Financial machine learning projects
The objective of this course is to acquire experience in financial machine learning by solving real-world problems. Different groups of students will work on different industry projects during the sem
FIN-414: Optimization methods
This course presents the problem of static optimization, with and without (equality and inequality) constraints, both from the theoretical (optimality conditions) and methodological (algorithms) point
EE-726: Sparse stochastic processes
We cover the theory and applications of sparse stochastic processes (SSP). SSP are solutions of differential equations driven by non-Gaussian innovations. They admit a parsimonious representation in a
FIN-472: Computational finance
Participants of this course will master computational techniques frequently used in mathematical finance applications. Emphasis will be put on the implementation and practical aspects.