401-5820-00L Seminar in Computational Finance for CSE
| Semester | Autumn Semester 2018 |
| Lecturers | J. Teichmann |
| Periodicity | every semester recurring course |
| Language of instruction | English |
Courses
| Number | Title | Hours | Lecturers | |
|---|---|---|---|---|
| 401-5820-00 S | Seminar in Computational Finance for CSE Please contact Prof. Teichmann if you are interested in attending. | 2 hrs | by appt. | J. Teichmann |
Catalogue data
| 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. |
Performance assessment
| Performance assessment information (valid until the course unit is held again) | |
Performance assessment as a semester course | |
| ECTS credits | 4 credits |
| Examiners | J. Teichmann |
| Type | ungraded semester performance |
| Language of examination | English |
| Repetition | Repetition only possible after re-enrolling for the course unit. |
Learning materials
| No public learning materials available. | |
| Only public learning materials are listed. |
Groups
| No information on groups available. |
Restrictions
| There are no additional restrictions for the registration. |
Offered in
| Programme | Section | Type | |
|---|---|---|---|
| Computational Science and Engineering Master | Computational Finance | W |  |