390005 SE PhD-AW: Advanced Stochastic Modelling (2025W)
Continuous assessment of course work
Labels
MIXED
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 08.09.2025 09:00 to We 17.09.2025 12:00
- Registration is open from We 24.09.2025 09:00 to Th 25.09.2025 12:00
- Deregistration possible until Tu 14.10.2025 23:59
Details
max. 24 participants
Language: English
Lecturers
Classes
Dienstag 02.09. 13:15-14:45 Seminarraum 5, Kolingasse 14-16, EG00
Dienstag 07.10. 13:15 - 14:45 Seminarraum 8, Kolingasse 14-16, OG01
Dienstag 14.10. 13:15 - 14:45 Seminarraum 8, Kolingasse 14-16, OG01
Dienstag 28.10. 13:15 - 14:45 Seminarraum 8, Kolingasse 14-16, OG01
Dienstag 04.11. 13:15 - 14:45 Seminarraum 8, Kolingasse 14-16, OG01
Dienstag 11.11. 13:15 - 14:45 Seminarraum 8, Kolingasse 14-16, OG01
Dienstag 25.11. 13:15 - 14:45 Seminarraum 15, Kolingasse 14-16, OG01
Dienstag 09.12. 13:15 - 14:45 Seminarraum 8, Kolingasse 14-16, OG01
Dienstag 13.01. 13:15 - 14:45 Seminarraum 8, Kolingasse 14-16, OG01
Dienstag 20.01. 13:15-14:45 Seminarraum 8, Kolingasse 14-16, OG01
Dienstag 27.01. 13:15 - 14:45 Seminarraum 8, 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 materials will be announced on Moodle.
Association in the course directory
Last modified: Mo 24.11.2025 12:08