Christoph Schwab: Catalogue data in Spring Semester 2020

Name Prof. Dr. Christoph Schwab
Seminar für Angewandte Mathematik
ETH Zürich, HG G 57.1
Rämistrasse 101
8092 Zürich
Telephone+41 44 632 35 95
Fax+41 44 632 10 85
RelationshipFull Professor

401-1652-10LNumerical Analysis I Information Restricted registration - show details 6 credits3V + 2UC. Schwab
AbstractThis course will give an introduction to numerical methods, aimed at mathematics majors. It covers numerical linear algebra, quadrature, interpolation and approximation methods as well as their error analysis and implementation.
ObjectiveKnowledge of the fundamental numerical methods as well as
`numerical literacy': application of numerical methods for the solution
of application problems, mathematical foundations of numerical
methods, and basic mathematical methods of the analysis of
stability, consistency and convergence of numerical methods,
MATLAB implementation.
ContentRounding errors, solution of linear systems of equations, nonlinear equations,
interpolation (polynomial as well as trigonometric), least squares problems,
extrapolation, numerical quadrature, elementary optimization methods.
Lecture notesLecture Notes and reading list will be available.
LiteratureLecture Notes (german or english) will be made available to students of ETH BSc MATH.

Quarteroni, Sacco and Saleri, Numerische Mathematik 1 + 2, Springer Verlag 2002 (in German).

There is an English version of this text, containing both German volumes, from the same publisher. If you feel more comfortable with English, you can follow this text as well. Content and Indexing are identical in the German and the English text.
Prerequisites / NoticeAdmission Requirements:
Completed course
Linear Algebra I, Analysis I in ETH BSc MATH
Parallel enrolment in
Linear Algebra II, Analysis II in ETH BSc MATH

Weekly homework assignments involving MATLAB programming
are an integral part of the course.
Turn-in of solutions will be graded.
401-3650-19LNumerical Analysis Seminar: Mathematics of Deep Neural Network Approximation Restricted registration - show details
Number of participants limited to 6. Priority will be given to MSc students who did not complete a seminar.
4 credits2SC. Schwab
AbstractThis seminar will review recent _mathematical results_ on approximation power of deep neural networks (DNNs). The focus will be on mathematical proof techniques to obtain approximation rate estimates (in terms of neural network size and connectivity) on various classes of input data including, in particular, selected types of PDE solutions.
ContentPresentation of the Seminar:
Deep Neural Networks (DNNs) have recently attracted substantial
interest and attention due to outperforming the best established
techniques in a number of tasks (Chess, Go, Shogi,
autonomous driving, language translation, image classification, etc.).
In many cases, these successes have been achieved by
heuristic implementations combined
with massive compute power and training data.
For a (bird's eye) overview, see
and, more mathematical and closer to the seminar theme,

This seminar will review recent _mathematical results_
on approximation power of deep neural networks (DNNs).
The focus will be on mathematical proof techniques to
obtain approximation rate estimates (in terms of neural network
size and connectivity) on various classes of input data
including, in particular, selected types of PDE solutions.
Mathematical results support that DNNs can
equalize or outperform the best mathematical results
known to date.

Particular cases comprise:
high-dimensional parametric maps,
analytic and holomorphic maps,
maps containing multi-scale features which arise as solution classes from PDEs,
classes of maps which are invariant under group actions.
Prerequisites / NoticeEach seminar topic will allow expansion to a semester or a
master thesis in the MSc MATH or MSc Applied MATH.

The seminar format will be oral student presentations in
the first half of May 2020, combined with a written report.
Student presentations will be
based on a recent research paper selected in two meetings
at the start of the semester (end of February).

The seminar will _not_ address recent developments in DNN software,
such as training heuristics, or programming techniques
for DNN training in various specific applications.
401-4658-00LComputational Methods for Quantitative Finance: PDE Methods Information Restricted registration - show details 6 credits3V + 1UC. Schwab
AbstractIntroduction to principal methods of option pricing. Emphasis on PDE-based methods. Prerequisite MATLAB programming
and knowledge of numerical mathematics at ETH BSc level.
ObjectiveIntroduce the main methods for efficient numerical valuation of derivative contracts in a
Black Scholes as well as in incomplete markets due Levy processes or due to stochastic volatility
models. Develop implementation of pricing methods in MATLAB.
Finite-Difference/ Finite Element based methods for the solution of the pricing integrodifferential equation.
Content1. Review of option pricing. Wiener and Levy price process models. Deterministic, local and stochastic
volatility models.
2. Finite Difference Methods for option pricing. Relation to bi- and multinomial trees.
European contracts.
3. Finite Difference methods for Asian, American and Barrier type contracts.
4. Finite element methods for European and American style contracts.
5. Pricing under local and stochastic volatility in Black-Scholes Markets.
6. Finite Element Methods for option pricing under Levy processes. Treatment of
integrodifferential operators.
7. Stochastic volatility models for Levy processes.
8. Techniques for multidimensional problems. Baskets in a Black-Scholes setting and
stochastic volatility models in Black Scholes and Levy markets.
9. Introduction to sparse grid option pricing techniques.
Lecture notesThere will be english, typed lecture notes as well as MATLAB software for registered participants in the course.
LiteratureR. Cont and P. Tankov : Financial Modelling with Jump Processes, Chapman and Hall Publ. 2004.

Y. Achdou and O. Pironneau : Computational Methods for Option Pricing, SIAM Frontiers in Applied Mathematics, SIAM Publishers, Philadelphia 2005.

D. Lamberton and B. Lapeyre : Introduction to stochastic calculus Applied to Finance (second edition), Chapman & Hall/CRC Financial Mathematics Series, Taylor & Francis Publ. Boca Raton, London, New York 2008.

J.-P. Fouque, G. Papanicolaou and K.-R. Sircar : Derivatives in financial markets with stochastic volatility, Cambridge Univeristy Press, Cambridge, 2000.

N. Hilber, O. Reichmann, Ch. Schwab and Ch. Winter: Computational Methods for Quantitative Finance, Springer Finance, Springer, 2013.
401-5650-00LZurich Colloquium in Applied and Computational Mathematics Information 0 credits1KR. Abgrall, R. Alaifari, H. Ammari, R. Hiptmair, S. Mishra, S. Sauter, C. Schwab
AbstractResearch colloquium