## Josef Teichmann: Katalogdaten im Herbstsemester 2022 |

Name | Herr Prof. Dr. Josef Teichmann |

Lehrgebiet | Finanzmathematik |

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

Telefon | +41 44 632 31 74 |

josef.teichmann@math.ethz.ch | |

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

Departement | Mathematik |

Beziehung | Ordentlicher Professor |

Nummer | Titel | ECTS | Umfang | Dozierende | |
---|---|---|---|---|---|

364-1058-00L | Risk Center Seminar Series | 0 KP | 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 | |

Kurzbeschreibung | 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. | ||||

Lernziel | 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. | ||||

Inhalt | 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. | ||||

Skript | 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. | ||||

Literatur | Literature will be provided by the speakers in their respective presentations. | ||||

Voraussetzungen / Besonderes | 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 KP | 2S | J. Teichmann | |

Kurzbeschreibung | |||||

Lernziel | |||||

Inhalt | 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. | ||||

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 / Besonderes | 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 KP | 1K | B. Acciaio, P. Cheridito, D. Possamaï, M. Schweizer, J. Teichmann, M. V. Wüthrich | |

Kurzbeschreibung | Research colloquium | ||||

Lernziel | |||||

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