Universität Wien

390005 SE PhD-AW: Advanced Stochastic Modelling (2021W)

3.00 ECTS (2.00 SWS), SPL 39 - Doktoratsstudium Wirtschaftswissenschaften
Continuous assessment of course work
ON-SITE
Moodle

Registration/Deregistration

Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).

Details

max. 24 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

The seminar on 23.11 will take place online. The link can be found on moodle.

  • Tuesday 05.10. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Tuesday 12.10. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Tuesday 19.10. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Tuesday 09.11. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Tuesday 16.11. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Tuesday 23.11. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Tuesday 30.11. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Tuesday 07.12. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Tuesday 14.12. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Tuesday 11.01. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Tuesday 18.01. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Tuesday 25.01. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01

Information

Aims, contents and method of the course

The focus of the seminar is on newest developments in the area of data-driven and machine learning approaches to financial problems combined with their mathematical and probabilistic foundations.

This includes the analysis of training algorithms, financial time-series predictions, detection of statistical arbitrages, calibration, hedging, portfolio optimization, and market simulation.

An emphasis will lie on machine learning tools tailored to learning of dynamic processes, e.g. neural SDEs and signature based methods. Mathematical tools from rough paths theory as well as (infinite) dimensional stochastic analysis shall be used.

Assessment and permitted materials

Talk on an article in the subject area of ​​the seminar

Minimum requirements and assessment criteria

Assessment of the talk

Examination topics

Content of the paper chosen for the talk

Reading list

The research articles will be announced on Moodle.

Association in the course directory

Last modified: Mo 22.11.2021 11:10