401-3956-00L  Economic Theory of Financial Markets

Semester Spring Semester 2017
Lecturers M. V. Wüthrich
Periodicity two-yearly course
Language of instruction English


Abstract This lecture provides an introduction to the economic theory of financial markets. It presents the basic financial and economic concepts to insurance mathematicians and actuaries.
Objective This lecture aims at providing the fundamental financial and economic concepts to insurance mathematicians and actuaries. It focuses on portfolio theory, cash flow valuation and deflator techniques.
Content We treat the following topics:
- Fundamental concepts in economics
- Portfolio theory
- Mean variance analysis, capital asset pricing model
- Arbitrage pricing theory
- Cash flow theory
- Valuation principles
- Stochastic discounting, deflator techniques
- Interest rate modeling
- Utility theory
Prerequisites / Notice The exams ONLY take place during the official ETH examination period.

This course will be held in English and counts towards the diploma of "Aktuar SAV". For the latter, see details under www.actuaries.ch.

Knowledge in probability theory, stochastic processes and statistics is assumed.