Josef Teichmann: Katalogdaten im Frühjahrssemester 2020

NameHerr Prof. Dr. Josef Teichmann
LehrgebietFinanzmathematik
Adresse
Professur für Finanzmathematik
ETH Zürich, HG G 54.2
Rämistrasse 101
8092 Zürich
SWITZERLAND
Telefon+41 44 632 31 74
E-Mailjosef.teichmann@math.ethz.ch
URLhttp://www.math.ethz.ch/~jteichma
DepartementMathematik
BeziehungOrdentlicher Professor

NummerTitelECTSUmfangDozierende
363-1114-00LIntroduction to Risk Modelling and Management3 KP2VB. J. Bergmann, D. N. Bresch, J. Teichmann
KurzbeschreibungThis course provides an introduction to various aspects of modelling, dealing and managing risk across different industries, contexts and applications. Classes will alternate between risk professionals from industry and government and academics coming from different disciplines.
LernzielStudents get familiar with the building blocks of risk modelling: uncertainty, vulnerability, resilience, decision-making under uncertainty. The course looks at different approaches to modelling and dealing as well as mitigating different kind of risks in different industries and get to understand the relation to the decision-making process in business and the value chain of a company. Cases range from enterprise risk management, natural catastrophes, climate risk, energy market risk, risk engineering, financial risks, operational risk, cyber risk and more. An additional emphasis will be on the data-driven approach to smart algorithms applied to risk modelling and management. After taking this course, students should be able to demonstrate that they can identify and formulate a risk analysis problem with quantitative methods in a particular field.
InhaltThe course covers the following areas:
1. Fundamentals of Risk Modelling: Probability, Uncertainty, Vulnerability, Decision-Making under Uncertainty
2. Fundamentals of Risk Management and Enterprise Risk Management
3. Risk Modelling and Management across Different areas with invited Speakers
The list of Speakers can be found here: https://riskcenter.ethz.ch/education/lectures/introduction-to-risk-modelling-and-management--.html
SkriptLecture notes and slides will be provided via moodle
401-0614-00LWahrscheinlichkeit und Statistik Information Belegung eingeschränkt - Details anzeigen 5 KP2V + 2UJ. Teichmann
KurzbeschreibungEinführung in die Wahrscheinlichkeitstheorie und Statistik
Lernziela) Fähigkeit, die behandelten wahrscheinlichkeitstheoretischen Methoden zu verstehen und anzuwenden

b) Probabilistisches Denken und stochastische Modellierung

c) Fähigkeit, einfache statistische Tests selbst durchzuführen und die Resultate zu interpretieren
InhaltWahrscheinlichkeitsraum, Wahrscheinlichkeitsmass, Zufallsvariablen, Verteilungen, Dichten, Unabhängigkeit, bedingte Wahrscheinlichkeiten, Erwartungswert, Varianz, Kovarianz, Gesetz der grossen Zahlen, Zentraler Grenzwertsatz, grosse Abweichungen, Chernoff-Schranken, Maximum-Likelihood-Schätzer, Momentenschätzer, Tests, Neyman-Pearson Lemma, Konfidenzintervalle
SkriptLernmaterialien sind erhältlich auf https://metaphor.ethz.ch/x/2019/fs/401-0614-00L/
401-3932-19LMachine Learning in Finance6 KP3V + 1UJ. Teichmann
KurzbeschreibungThe course will deal with the following topics with rigorous proofs and many coding excursions: Universal approximation theorems, Stochastic gradient Descent, Deep
networks and wavelet analysis, Deep Hedging, Deep calibration,
Different network architectures, Reservoir Computing, Time series analysis by machine learning, Reinforcement learning, generative adversersial networks, Economic games.
Lernziel
Voraussetzungen / BesonderesBachelor in mathematics, physics, economics or computer science.
401-5820-00LSeminar in Computational Finance for CSE4 KP2SJ. Teichmann
Kurzbeschreibung
Lernziel
401-5910-00LTalks in Financial and Insurance Mathematics Information 0 KP1KP. Cheridito, M. Schweizer, J. Teichmann, M. V. Wüthrich
KurzbeschreibungForschungskolloquium
LernzielEinfuehrung in aktuelle Forschungsthemen aus dem Bereich "Insurance Mathematics and Stochastic Finance".
Inhalthttps://www.math.ethz.ch/imsf/courses/talks-in-imsf.html