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

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

Catalogue data

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

No public learning materials available.
Only public learning materials are listed.


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


No information on groups available.


There are no additional restrictions for the registration.

Offered in

Computational Science and Engineering MasterComputational FinanceWInformation