Josef Teichmann: Catalogue data in Autumn Semester 2022

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 79 584 55 40
E-mail	josef.teichmann@math.ethz.ch
URL	http://www.math.ethz.ch/~jteichma
Department	Mathematics
Relationship	Full Professor

Number	Title	ECTS	Hours	Lecturers
364-1058-00L	Risk Center Seminar Series	0 credits	2S	H. Schernberg, D. Basin, A. Bommier, D. N. Bresch, S. Brusoni, L.‑E. Cederman, P. Cheridito, F. Corman, H. Gersbach, C. Hölscher, K. Paterson, G. Sansavini, B. Stojadinovic, B. Sudret, J. Teichmann, R. Wattenhofer, U. A. Weidmann, S. Wiemer, M. Zeilinger, R. Zenklusen
Abstract	This course is a mixture between a seminar primarily for PhD and postdoc students and a colloquium involving invited speakers. It consists of presentations and subsequent discussions in the area of modeling complex socio-economic systems and crises. Students and other guests are welcome.
Learning objective	Participants should learn to get an overview of the state of the art in the field, to present it in a well understandable way to an interdisciplinary scientific audience, to develop novel mathematical models for open problems, to analyze them with computers, and to defend their results in response to critical questions. In essence, participants should improve their scientific skills and learn to work scientifically on an internationally competitive level.
Content	This course is a mixture between a seminar primarily for PhD and postdoc students and a colloquium involving invited speakers. It consists of presentations and subsequent discussions in the area of modeling complex socio-economic systems and crises. For details of the program see the webpage of the colloquium. Students and other guests are welcome.
Lecture notes	There is no script, but a short protocol of the sessions will be sent to all participants who have participated in a particular session. Transparencies of the presentations may be put on the course webpage.
Literature	Literature will be provided by the speakers in their respective presentations.
Prerequisites / Notice	Participants should have relatively good mathematical skills and some experience of how scientific work is performed.
401-5820-00L	Seminar in Computational Finance for CSE	4 credits	2S	J. Teichmann
Abstract
Learning 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	B. Acciaio, P. Cheridito, D. Possamaï, M. Schweizer, J. Teichmann, M. V. Wüthrich
Abstract	Research colloquium
Learning objective
Content	Regular research talks on various topics in mathematical finance and actuarial mathematics