Josef Teichmann: Katalogdaten im Herbstsemester 2017

NameHerr Prof. Dr. Josef Teichmann
LehrgebietFinanzmathematik
Adresse
Professur für Finanzmathematik
ETH Zürich, HG G 54.2
Rämistrasse 101
8092 Zürich
SWITZERLAND
Telefon+41 44 632 31 74
E-Mailjosef.teichmann@math.ethz.ch
URLhttp://www.math.ethz.ch/~jteichma
DepartementMathematik
BeziehungOrdentlicher Professor

NummerTitelECTSUmfangDozierende
401-4889-00LMathematical Finance11 KP4V + 2UJ. Teichmann
KurzbeschreibungAdvanced introduction to mathematical finance:
- absence of arbitrage and martingale measures
- option pricing and hedging
- optimal investment problems
- additional topics
LernzielAdvanced level introduction to mathematical finance, presupposing knowledge in probability theory and stochastic processes
InhaltThis is an advanced level introduction to mathematical finance for students with a good background in probability. We want to give an overview of main concepts, questions and approaches, and we do this in both discrete- and continuous-time models. Topics include absence of arbitrage and martingale measures, option pricing and hedging, optimal investment problems, and probably others.
Prerequisites are probability theory and stochastic processes (for which lecture notes are available).
SkriptCourse homepage: https://metaphor.ethz.ch/x/2017/hs/401-4889-00L/
-Lecture notes
-Exercise sheets
-A list of relevant literature
Voraussetzungen / BesonderesPrerequisites are probability theory and stochastic processes (for which lecture notes are available).
401-5820-00LSeminar in Computational Finance for CSE4 KP2SJ. Teichmann
Kurzbeschreibung
Lernziel
InhaltWe 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.
Literatur[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.
Voraussetzungen / BesonderesRequirements: sound understanding of stochastic concepts and of con-
cepts of mathematical Finance, ability to implement econometric or simula-
tion routines in MATLAB.
401-5910-00LTalks in Financial and Insurance Mathematics Information 0 KP1KP. Cheridito, P. Embrechts, M. Schweizer, M. Soner, J. Teichmann, M. V. Wüthrich
KurzbeschreibungResearch colloquium
Lernziel
InhaltRegular research talks on various topics in mathematical finance and actuarial mathematics