Transition metal oxide heterostructures often, but by far not always, exhibit strong electronic correlations. State-of-the-art calculations account for these by dynamical mean field theory (DMFT). We discuss the physical situations in which DMFT is needed, not needed, and where it is actually not sufficient. By means of an example, SrVO$_3$/SrTiO$_3$, we discuss step-by-step and figure-by-figure a density functional theory(DFT)+DMFT calculation. The second part reviews DFT+DMFT calculations for oxide heterostructure focusing on titanates, nickelates, vanadates, and ruthenates.