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401-5820-00L 4 Credits MSC D-MATH
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Seminar in Computational Finance for CSE

Lecturers & Examiners: Prof. Dr. Josef Teichmann
VVZ CR n/a

Last Updated: 2026-02-05 15:47:27

Content

We 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.

Resources

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.

General Information

Language
English
Levels
MSC
Frequency
Semesterly recurring

Examination

Type
ungraded semester performance

Course Components

Type Title Time & Place Hours
seminar Seminar in Computational Finance for CSE
Please contact Prof. Teichmann if you are interested in attending.
  • By Appointment None-None
2 h weekly

Offered In