Stochastic Finance

The Stochastic Finance Group conducts research on foundational issues in mathematical finance, such as model uncertainty, robust calibration and estimation, as well as market frictions. In addition, the group is also heavily involved in the creation and development of the necessary mathematical tools from stochastic processes, optimal control, partial differential equations, and other fields. An overview of some current research projects is given under the headingResearch areas.

As for教育, the Stochastic Finance Group offers a wide spectrum of introductory and advanced courses on mathematical finance, both in the context of the Master's Programme inMathematics/Applied Mathematicsat ETH Zurich and in theMaster of Science in Quantitative Financeoffered jointly by ETH Zurich and the University of Zurich. In addition, the group members also teach general mathematics courses for the Department of Mathematics and for other departments of ETH Zurich. An overview of the currently offered courses is listed underCourses and seminars.

Together withRiskLab, the Stochastic Finance Group forms theInsurance Mathematics and Stochastic Financegroup. For teaching and organizational aspects, theProbability Theory Group,RiskLab, and the Stochastic Finance Group constituteGroup 3within the Department of Mathematics at ETH.