Overview of courses

This is a list of mathematical finance courses we offer. A recommendation of the order in which these courses should be taken is given in the table at the end.

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• Introduction to Mathematical Finance (MFI), 401-3888-00 (yearly, Spring, 4+1): This is the fundamental course recommended to all students interested in theoretical and computational aspects of mathematical finance. This course focuses on discrete-time markets and requires a basic knowledge of measure-theoretic probability theory. The textbook by Föllmer and Schied or lecture notes similar to that will be used.
• Mathematical Finance (MFII), 401-4889-00 (yearly, Autumn, 4+2): This is the continuation of the previous course. It focuses on continuous-time markets. It covers the basic concepts such as the fundamental theorem of asset pricing, utility maximization, several modelling issues and other topics. It should be taken after Introduction to Mathematical Finance. 
• Topics in Mathematical Finance (TMF), no fixed number (yearly, Spring): This course focuses on advanced aspects of the theory. Although it is taught yearly, it covers each year different topics such as continuous-time interest rate models, filtering, stochastic optimal control, semimartingale theory, etc. Depending on the particular focus, it may or may not be taken independently of other courses. 
• Mathematical Foundations for Finance (MFF), 401-3913-01 (yearly, Autumn, 3+2): This is the required course for the Master of Science in Quantitative Finance (jointly with UZH). Computational and modelling aspects rather than the mathematical theory are in the focus. It can be taken independently of MFI and MFII.
• Interest Rate Modeling in Discrete Time (IR), 401-3953-00L (every two years, Spring, 2+0): This course develops discrete-time models for fixed income instruments. It allows an easy development of the models using discrete time and is recommended to complement the theoretical aspects of the other courses. It requires a basic knowledge of probability theory and can be taken independently of the other courses.
  
  Prior to the above courses, students are advised to take probability courses offered by the department. These courses are:

• Probability and Statistics (PS), Wahrscheinlichkeitsrechnung und Statistik, 401-2604-00 (yearly, Spring, 4+2): This course is required for the Bachelor degree in Mathematics and is taken in the 4th semester.
• Probability Theory (Prob. Th.), Wahrscheinlichkeitstheorie, 401-3601-00 (yearly, Autumn, 4+1): This is a core course for the Bachelor or Master degree and should be taken in the 5th semester.
  
  The following advanced course on stochastic processes is also strongly recommended.
• Brownian Motion and Stochastic Calculus (BMSC), 401-3642-00 (yearly, Spring, 4+1): This course covers fundamental topics in continuous-time stochastic processes. This knowledge is essential in all mathematical models in financial economics.