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402-0816-00L 5 Credits BSC , DS , MSC D-MATH , D-PHYS
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Computational Physics and Econophysics

Lecturers & Examiners: Prof. Dr. Diethelm Würtz
VVZ CR n/a

Last Updated: 2026-02-05 15:18:59

Abstract

Introduction to principals of computational finance and financialengineering from an econphysicist point of view. Prerequisite R/SPlusprogramming.

Objective

Introducing main statistical methods for numerical modelling of financial time series, valuation of derivatives, and optimization of portfolios. Implementing numerical methods using the statistical software environment R.

Content

- Overview on R/Rmetrics and SPlus/Finmetrics. - Financial Returns, Stylized Facts, Stable and Hyperbolic Distributions - ARMA and GARCH Time Series Modelling, Trends and Unit Roots - Technical Analysis, Trading Models and Decision Making - Extreme Value Theory and Dependence Structures (Copulae) - Plain Vanilla and Exotic Option Pricing, Monte Carlo Simulations - Markowitz and CVaR Portfolio Optimization

Resources

Lecture Notes

Lecture notes written in English as well as R/Rmetrics software forregistered participants in the course.

General Information

Language
English
Levels
BSC , DS , MSC
Frequency
Yearly recurring

Examination

Type
session examination
Mode
oral 30 minutes

Course Components

Type Title Time & Place Hours
lecture Computational Physics and Econophysics
or by arrangement
  • Wed 11:15-13:00 (HG D 5.1)
  • Thu 16:45-18:30 (HPP H 7)
2 h weekly
exercise Computational Physics and Econophysics
  • Thu 17:15-19:00 (HG D 3.3)
2 h weekly

Offered In