390005 SE PhD-AW: Advanced Stochastic Modelling (2023W)
Continuous assessment of course work
Labels
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).
- Registration is open from Mo 11.09.2023 09:00 to Fr 22.09.2023 12:00
- Deregistration possible until Fr 20.10.2023 23:59
Details
max. 24 participants
Language: English
Lecturers
Classes
Tuesday 10.10.2023 13:15 - 14:45 Seminar room 12, Kolingasse 14-16, OG01 01.43
Tuesday 24.10.2023 13:15 - 14:45 Seminar room 12, Kolingasse 14-16, OG01 01.43Tuesday 31.10.2023 13:15 - 14:45 Seminar room 12, Kolingasse 14-16, OG01 01.43Tuesday 07.11.2023 13:15 - 14:45 Seminar room 12, Kolingasse 14-16, OG01 01.43Tuesday 14.11.2023 13:15 - 14:45 Seminar room 12, Kolingasse 14-16, OG01 01.43Teusday 21.11.2023 13:15 - 14:45 Seminar room 12, Kolingasse 14-16, OG01 01.43Tuesday 28.11.2023 13:15 - 14:45 Seminar room 12, Kolingasse 14-16, OG01 01.43Tuesday 05.12.2023 13:15 - 14:45 Seminar room 12, Kolingasse 14-16, OG01 01.43Tuesday 12.12.2023 13:15 - 14:45 Seminar room 12, Kolingasse 14-16, OG01 01.43Tuesday 09.01.2024 13:15 - 14:45 Seminar room 12, Kolingasse 14-16, OG01 01.43Tuesday 16.01.2024 13:15 - 14:45 Seminar room 12, Kolingasse 14-16, OG01 01.43Tuesday 23.01.2024 13:15 - 14:45 Seminar room 12, Kolingasse 14-16, OG01 01.43Tuesday 30.01.2024 13:15 - 14:45 Seminar room 12, Kolingasse 14-16, OG01 01.43Information
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 articles will posted on Moodle.
Association in the course directory
Last modified: Tu 10.10.2023 15:08