401-5820-00L Seminar in Computational Finance for CSE
|Semester||Autumn Semester 2016|
|Periodicity||every semester recurring course|
|Language of instruction||English|
|Content||We aim to comprehend recent and exciting research on the nature of|
stochastic volatility: an extensive econometric research  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  and microfoundations  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|| C. Bayer, P. Friz, and J. Gatheral. Pricing under rough volatility.|
Quantitative Finance , 16(6):887-904, 2016.
 F. M. Euch, Omar El and M. Rosenbaum. The microstructural founda-
tions of leverage effect and rough volatility. arXiv:1609.05177 , 2016.
 O. E. Euch and M. Rosenbaum. The characteristic function of rough
Heston models. arXiv:1609.02108 , 2016.
 J. Gatheral, T. Jaisson, and M. Rosenbaum. Volatility is rough.
arXiv:1410.3394 , 2014.
|Prerequisites / Notice||Requirements: sound understanding of stochastic concepts and of con-|
cepts of mathematical Finance, ability to implement econometric or simula-
tion routines in MATLAB.
|Performance assessment information (valid until the course unit is held again)|
|Performance assessment as a semester course|
|ECTS credits||4 credits|
|Type||ungraded semester performance|
|Language of examination||English|
|Repetition||Repetition only possible after re-enrolling for the course unit.|
|No public learning materials available.|
|Only public learning materials are listed.|
|401-5820-00 S||Seminar in Computational Finance for CSE|
Please contact Prof. Teichmann if you are interested in attending.
|2 hrs||by appt.||J. Teichmann|
|No information on groups available.|
|There are no additional restrictions for the registration.|
|Computational Science and Engineering Master||Computational Finance||W|