Josef Teichmann: Katalogdaten im Frühjahrssemester 2021

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
363-1153-00LNew Technologies in Banking and Finance3 KP2VB. J. Bergmann, P. Cheridito, H. Gersbach, P. Mangold, J. Teichmann, R. Wattenhofer
KurzbeschreibungTechnological advances, digitization and the ability to store and process vast amounts of data has changed the landscape of banking and finance in recent years. This course will unpack the technologies underlying these transformations and reflect on the impacts on the financial world, covering also change management perspectives.
LernzielAfter taking this course, students will be able to
- Understand recent technological developments and how they drive transformation in banking and finance
- Understand the challenges of this digital transformation when managing financial and non-financial risks
- Reflect on the impacts this transformation has on workflows, agile working, project and change management
InhaltThe financial manager of the future is commanding a wide set of skills ranging from a profound understanding of technological advances and a sensible understanding of the impact on workflows and business models. Students with an interest in finance and banking are invited to take the course without explicit theoretical knowledge in financial economics. As the course will cover topics like machine learning, cyber security, distributed computing, and more, an understanding of these technologies is welcomed, however not mandatory. The course will also go beyond technological advances and will also cover management-related contents. The course is divided in sections, each covering different areas and technologies. Students are asked to solve small cases in groups for each section. Invited guest speakers will contribute to the sessions. In addition, separate networking sessions will provide entry opportunities into finance and banking.

More information on the speakers and specific session can be found here: https://riskcenter.ethz.ch/education/lectures.html and on the moodle page.
Voraussetzungen / BesonderesThe course is opened to students from all backgrounds. Some experience with quantitative disciplines such as probability and statistics, however, is useful.
401-2604-00LWahrscheinlichkeit und Statistik Information 7 KP4V + 2UJ. Teichmann
Kurzbeschreibung- Diskrete Wahrscheinlichkeitsräume
- Stetige Modelle
- Grenzwertsätze
- Einführung in die Statistik
LernzielZiel der Vorlesung ist die Vermittlung der Grundkonzepte von Wahrscheinlichkeitstheorie und mathematischer Statistik. Neben der mathematisch präzisen Behandlung wird auch Wert auf Intuition und Anschauung gelegt. Die Vorlesung setzt die Masstheorie nicht systematisch ein, verweist aber auf die Zusammenhänge.
Inhalt- Diskrete Wahrscheinlichkeitsräume: Grundbegriffe, Laplace-Modelle, Irrfahrt, bedingte Wahrscheinlichkeiten, Unabhängigkeit
- Stetige Modelle: allgemeine Wahrscheinlichkeitsräume, Zufallsvariablen und ihre Verteilungen, Erwartungswert, mehrere Zufallsvariablen
- Grenzwertsätze: Schwaches und starkes Gesetz der grossen Zahlen, zentraler Grenzwertsatz
- Einführung in die Statistik: Was ist Statistik?, Punktschätzungen, statistische Tests, Vertrauensintervalle
SkriptEs wird ein Skript zur Verfügung gestellt, das während des Semesters laufend ergänzt wird.
LiteraturH.-O. Georgii, Stochastik, de Gruyter, 5. Auflage (2015)
A. Irle, Wahrscheinlichkeitstheorie und Statistik, Teubner (2001)
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.
401-4611-21LRough Path Theory Information 4 KP2VA. Allan, J. Teichmann
KurzbeschreibungThe aim of this course is to provide an introduction to the theory of rough paths, with a particular focus on their integration theory and associated rough differential equations, and how the theory relates to and enhances the field of stochastic calculus.
LernzielOur first motivation will be to understand the limitations of classical notions of integration to handle paths of very low regularity, and to see how the rough integral succeeds where other notions fail. We will construct rough integrals and establish solutions of differential equations driven by rough paths, as well as the continuity of these objects with respect to the paths involved, and their consistency with stochastic integration and SDEs. Various applications and extensions of the theory will then be discussed.
SkriptLecture notes will be provided by the lecturer.
LiteraturP. K. Friz and M. Hairer, A course on rough paths with an introduction to regularity structures, Springer (2014).
P. K. Friz and N. B. Victoir. Multidimensional stochastic processes as rough paths, Cambridge University Press (2010).
Voraussetzungen / BesonderesThe aim will be to make the course as self-contained as possible, but some knowledge of stochastic analysis is highly recommended. The course “Brownian Motion and Stochastic Calculus” would be ideal, but not strictly required.
401-5820-00LSeminar in Computational Finance for CSE4 KP2SJ. Teichmann
Kurzbeschreibung
Lernziel
401-5910-00LTalks in Financial and Insurance Mathematics Information 0 KP1KB. Acciaio, P. Cheridito, D. Possamaï, 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
406-2604-AALProbability and Statistics
Belegung ist NUR erlaubt für MSc Studierende, die diese Lerneinheit als Auflagenfach verfügt haben.

Alle anderen Studierenden (u.a. auch Mobilitätsstudierende, Doktorierende) können diese Lerneinheit NICHT belegen.
7 KP15RJ. Teichmann
Kurzbeschreibung- Statistical models
- Methods of moments
- Maximum likelihood estimation
- Hypothesis testing
- Confidence intervals
- Introductory Bayesian statistics
- Linear regression model
- Rudiments of high-dimensional statistics
LernzielThe goal of this part of the course is to provide a solid introduction into statistics. It offers of a wide overview of the main tools used in statistical inference. The course will start with an introduction to statistical models and end with some notions of high-dimensional statistics. Some time will be spent on proving certain important results. Tools from probability and measure theory will be assumed to be known and hence will be only and occasionally recalled.
SkriptScript of Prof. Dr. S. van de Geer
LiteraturThese references could be use complementary sources:

R. Berger and G. Casella, Statistical Inference
J. A. Rice, Mathematical Statistics and Data Analysis
L. Wasserman, All of Statistics