390005 SE PhD-AW: Advanced Stochastic Modelling (2024W)

3.00 ECTS (2.00 SWS), SPL 39 - Doktoratsstudium Wirtschaftswissenschaften

Continuous assessment of course work

MIXED

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).

Registration is open from Mo 09.09.2024 09:00 to Th 19.09.2024 12:00
Deregistration possible until Mo 14.10.2024 23:59

Details

max. 24 participants

Language: English

Lecturers

Christa Cuchiero

Classes

uesday 01.10.2024 11:30 - 13:00 Seminarraum 12, Kolingasse 14-16, OG01 01.43
Tuesday 08.10.2024 11:30 - 13:00 Seminarraum 12, Kolingasse 14-16, OG01 01.43
Tuesday 15.10.2024 11:30 - 13:00 Seminarraum 16, Kolingasse 14-16, OG02 02.13
Tuesday 29.10.2024 11:30 - 13:00 Seminarraum 12, Kolingasse 14-16, OG01 01.43
Tuesday 12.11.2024 11:30 - 13:00 Seminarraum 12, Kolingasse 14-16, OG01 01.43
Tuesday 19.11.2024 13:15 - 14:45 Seminarraum 12, Kolingasse 14-16, OG01 01.43
Tuesday 03.12.2024 11:30 - 13:00 Seminarraum 19, Kolingasse 14-16, OG02 02.23
Tuesday 10.12.2024 11:30 - 13:00 Seminarraum 19, Kolingasse 14-16, OG02 02.23
Tuesday 07.01.2025 11:30 - 13:00 Seminarraum 12, Kolingasse 14-16, OG01 01.43
Tuesday 21.01.2025 11:30 - 13:00 Seminarraum 12, Kolingasse 14-16, OG01 01.43
Tuesday 28.01.2025 11:30 - 13:00 Seminarraum 12, Kolingasse 14-16, OG01 01.43

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 articles will be posted on Moodle.

Association in the course directory

Dissertation Subject Area: Statistics and Operations Research

PhD Economic Sciences (370, 784 [3] - Version 2009)

Last modified: Tu 01.10.2024 12:47