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 heading Research areas.
As for education, the Stochastic Finance Group offers a wide spectrum of introductory and advanced courses on mathematical finance, both in the context of the Master Programmes in Mathematics and Applied Mathematics at ETH Zurich and in the Master of Science in Quantitative Finance offered 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 under Courses and seminars.
Together with RiskLab, the Stochastic Finance Group forms the Insurance Mathematics and Stochastic Finance group. For teaching and organizational aspects, the Probability Theory Group, RiskLab, and the Stochastic Finance Group constitute Group 3 within the Department of Mathematics at ETH.