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Computational Physics and Econophysics
Last Updated: 2026-02-05 15:29:43
Abstract
Introduction to principles of computational finance and financial engineering from an econophysicist point of view. Prerequisite R/SPlus programming.
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 , 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
|
|
2 h weekly |
| exercise | Computational Physics and Econophysics |
|
2 h weekly |