Josef Teichmann: Catalogue data in Spring Semester 2020 |
| Name | Prof. Dr. Josef Teichmann |
| Field | Financial Mathematics |
| Address | Professur für Finanzmathematik ETH Zürich, HG G 54.2 Rämistrasse 101 8092 Zürich SWITZERLAND |
| Telephone | +41 79 584 55 40 |
| josef.teichmann@math.ethz.ch | |
| URL | http://www.math.ethz.ch/~jteichma |
| Department | Mathematics |
| Relationship | Full Professor |
| Number | Title | ECTS | Hours | Lecturers | |
|---|---|---|---|---|---|
| 363-1114-00L | Introduction to Risk Modelling and Management | 3 credits | 2V | B. J. Bergmann, D. N. Bresch, J. Teichmann | |
| Abstract | This 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. | ||||
| Learning objective | Students 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. | ||||
| Content | The 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 | ||||
| Lecture notes | Lecture notes and slides will be provided via moodle | ||||
| 401-0614-00L | Probability and Statistics   | 5 credits | 2V + 2U | J. Teichmann | |
| Abstract | Einführung in die Wahrscheinlichkeitstheorie und Statistik | ||||
| Learning objective | a) 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 | ||||
| Content | Wahrscheinlichkeitsraum, 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 | ||||
| Lecture notes | Lernmaterialien sind erhältlich auf https://metaphor.ethz.ch/x/2019/fs/401-0614-00L/ | ||||
| 401-3932-19L | Machine Learning in Finance | 6 credits | 3V + 1U | J. Teichmann | |
| Abstract | The 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. | ||||
| Learning objective | |||||
| Prerequisites / Notice | Bachelor in mathematics, physics, economics or computer science. | ||||
| 401-5820-00L | Seminar in Computational Finance for CSE | 4 credits | 2S | J. Teichmann | |
| Abstract | |||||
| Learning objective | |||||
| 401-5910-00L | Talks in Financial and Insurance Mathematics | 0 credits | 1K | P. Cheridito, M. Schweizer, J. Teichmann, M. V. Wüthrich | |
| Abstract | Research colloquium | ||||
| Learning objective | Introduction to current research topics in "Insurance Mathematics and Stochastic Finance". | ||||
| Content | https://www.math.ethz.ch/imsf/courses/talks-in-imsf.html | ||||