Workgroup Financial Mathematics
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Content

Advanced topics in financial mathematics: random graph methods and systemic risk

Dr. Nils Detering


Schedule and Venue

Lectures and Exercises
Dr. Nils Detering

Supplementary Exercises:

Tue 14:15 - 15:45
Thu 14:15 - 15:45

Wed 11.05. 16:15-17:45
Wed 01.06. 16:15-17:45
Wed 15.06. 16:15-17:45
Wed 29.06. 16:15-17:45
Wed 13.07. 16:15-17:45

HS B 039
HS A 027

quantLab
Room B 121

Final Exam t.b.a. t.b.a.

  


Course Description

Inhalt: An introduction to random graphs used to model "real" networks. Towards the end of the course we will have a special look at applications in the area of systemic risk


References

[1] R.v.D. Hofstad: Random Graphs and Complex Networks Vol. 1 and 2.
[2] B. Bollabas: Random Graphs
[3] T. Hurd: Contagion! Systemic Risk in Financial Networks

For whom is this course?

Target Participants: Diploma students in business mathematics and mathematics as well as master students in mathematics.

Pre-requisites: Solid basis in probability theory.

Applicable credits:



Final Exams

To be announced.