## Josef Teichmann: Catalogue data in Autumn Semester 2017 |

Name | Prof. Dr. Josef Teichmann |

Field | Financial Mathematics |

Address | Professur für Finanzmathematik ETH Zürich, HG G 54.2 Rämistrasse 101 8092 Zürich SWITZERLAND |

Telephone | +41 44 632 31 74 |

josef.teichmann@math.ethz.ch | |

URL | http://www.math.ethz.ch/~jteichma |

Department | Mathematics |

Relationship | Full Professor |

Number | Title | ECTS | Hours | Lecturers | |
---|---|---|---|---|---|

401-4889-00L | Mathematical Finance | 11 credits | 4V + 2U | J. Teichmann | |

Abstract | Advanced introduction to mathematical finance: - absence of arbitrage and martingale measures - option pricing and hedging - optimal investment problems - additional topics | ||||

Objective | Advanced level introduction to mathematical finance, presupposing knowledge in probability theory and stochastic processes | ||||

Content | This 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). | ||||

Lecture notes | Course homepage: https://metaphor.ethz.ch/x/2017/hs/401-4889-00L/ -Lecture notes -Exercise sheets -A list of relevant literature | ||||

Prerequisites / Notice | Prerequisites are probability theory and stochastic processes (for which lecture notes are available). | ||||

401-5820-00L | Seminar in Computational Finance for CSE | 4 credits | 2S | J. Teichmann | |

Abstract | |||||

Objective | |||||

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. | ||||

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 / Notice | Requirements: sound understanding of stochastic concepts and of con- cepts of mathematical Finance, ability to implement econometric or simula- tion routines in MATLAB. | ||||

401-5910-00L | Talks in Financial and Insurance Mathematics | 0 credits | 1K | P. Cheridito, P. Embrechts, M. Schweizer, M. Soner, J. Teichmann, M. V. Wüthrich | |

Abstract | Research colloquium | ||||

Objective | |||||

Content | Regular research talks on various topics in mathematical finance and actuarial mathematics |