## Josef Teichmann: Catalogue data in Autumn Semester 2018 |

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 | |
---|---|---|---|---|---|

401-3910-68L | Topics in Mathematical Finance and Machine Learning Number of participants limited to 20. | 4 credits | 2S | J. Teichmann | |

Abstract | |||||

Objective | |||||

401-4611-68L | Regularity Structures | 6 credits | 3V | J. Teichmann | |

Abstract | We develop the main tools of Martin Hairer's theory of regularity structures to solve singular stochastic partial differential equations in a pathwise way or addtionally by re-normalization techniques. | ||||

Objective | |||||

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, 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 | ||||

406-2604-AAL | Probability and StatisticsEnrolment ONLY for MSc students with a decree declaring this course unit as an additional admission requirement. Any other students (e.g. incoming exchange students, doctoral students) CANNOT enrol for this course unit. | 7 credits | 15R | J. Teichmann | |

Abstract | Introduction to probability and statistics with many examples, based on chapters from the books "Probability and Random Processes" by G. Grimmett and D. Stirzaker and "Mathematical Statistics and Data Analysis" by J. Rice. | ||||

Objective | The goal of this course is to provide an introduction to the basic ideas and concepts from probability theory and mathematical statistics. In addition to a mathematically rigorous treatment, also an intuitive understanding and familiarity with the ideas behind the definitions are emphasized. Measure theory is not used systematically, but it should become clear why and where measure theory is needed. | ||||

Content | Probability: Chapters 1-5 (Probabilities and events, Discrete and continuous random variables, Generating functions) and Sections 7.1-7.5 (Convergence of random variables) from the book "Probability and Random Processes". Most of this material is also covered in Chap. 1-5 of "Mathematical Statistics and Data Analysis", on a slightly easier level. Statistics: Sections 8.1 - 8.5 (Estimation of parameters), 9.1 - 9.4 (Testing Hypotheses), 11.1 - 11.3 (Comparing two samples) from "Mathematical Statistics and Data Analysis". | ||||

Literature | Geoffrey Grimmett and David Stirzaker, Probability and Random Processes. 3rd Edition. Oxford University Press, 2001. John A. Rice, Mathematical Statistics and Data Analysis, 3rd edition. Duxbury Press, 2006. |