Workgroup Financial Mathematics
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Content

Topics in Machine Learning and Mathematical Finance

Prof. Dr. Lukas Gonon


Schedule and Venue

Seminar

 

Tuesday 14-16

First seminar: Tuesday 13th of April

Online via Zoom


Interested participants are asked to pre-register via e-mail for this seminar.

Due to the current situation, the seminar will be held via ZOOM. Further details will be announced by email.


Seminar Description

The goal of this seminar is to study in detail applications of machine learning techniques (e.g. deep neural networks, reinforcement learning, signature-based methods, ...) to PDEs and mathematical finance (e.g. portfolio optimization, pricing, hedging, ...).
Most of the talks will be based on recent research papers. The list of papers will be communicated before the start of the seminar.


References

To be announced

For whom is this course?

Target Participants: Bachelor and Master students of Mathematics or Financial and Insurance Mathematics.

Pre-requisites: Probability Theory and Financial Mathematics I. For some topics the lecture Finanzmathematik II/ Stochastic Calculus and Arbitrage Theory in Continuous Time is recommended.

Applicable credits: