401-5820-00L  Seminar in Computational Finance for CSE

SemesterAutumn Semester 2016
LecturersJ. Teichmann
Periodicityevery semester recurring course
Language of instructionEnglish



Courses

NumberTitleHoursLecturers
401-5820-00 SSeminar in Computational Finance for CSE
Please contact Prof. Teichmann if you are interested in attending.
2 hrsby appt.J. Teichmann

Catalogue data

Abstract
Objective
ContentWe aim to comprehend recent and exciting research on the nature of
stochastic volatility: an extensive econometric research [4] lead to new in-
sights on stochastic volatility, in particular that very rough fractional pro-
cesses of Hurst index about 0.1 actually provide very attractive models. Also
from the point of view of pricing [1] and microfoundations [2] these models
are very convincing.
More precisely each student is expected to work on one specified task
consisting of a theoretical part and an implementation with financial data,
whose results should be presented in a 45 minutes presentation.
Literature[1] C. Bayer, P. Friz, and J. Gatheral. Pricing under rough volatility.
Quantitative Finance , 16(6):887-904, 2016.

[2] F. M. Euch, Omar El and M. Rosenbaum. The microstructural founda-
tions of leverage effect and rough volatility. arXiv:1609.05177 , 2016.

[3] O. E. Euch and M. Rosenbaum. The characteristic function of rough
Heston models. arXiv:1609.02108 , 2016.

[4] J. Gatheral, T. Jaisson, and M. Rosenbaum. Volatility is rough.
arXiv:1410.3394 , 2014.
Prerequisites / NoticeRequirements: sound understanding of stochastic concepts and of con-
cepts of mathematical Finance, ability to implement econometric or simula-
tion routines in MATLAB.

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits4 credits
ExaminersJ. Teichmann
Typeungraded semester performance
Language of examinationEnglish
RepetitionRepetition only possible after re-enrolling for the course unit.

Learning materials

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Only public learning materials are listed.

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Offered in

ProgrammeSectionType
Computational Science and Engineering MasterComputational FinanceWInformation