## Patrick Cheridito: Catalogue data in Autumn Semester 2017 |

Name | Prof. Dr. Patrick Cheridito |

Field | Insurance Mathematics |

Address | Dep. Mathematik ETH Zürich, HG F 42.3 Rämistrasse 101 8092 Zürich SWITZERLAND |

Telephone | +41 44 633 87 87 |

patrick.cheridito@math.ethz.ch | |

URL | http://www.math.ethz.ch/~patrickc |

Department | Mathematics |

Relationship | Full Professor |

Number | Title | ECTS | Hours | Lecturers | |
---|---|---|---|---|---|

364-1058-00L | Risk Center Seminar Series Number of participants limited to 50. | 0 credits | 2S | B. Stojadinovic, D. Basin, A. Bommier, D. N. Bresch, L.‑E. Cederman, P. Cheridito, P. Embrechts, H. Gersbach, H. R. Heinimann, M. Larsson, W. Mimra, G. Sansavini, F. Schweitzer, D. Sornette, B. Sudret, U. A. Weidmann, S. Wiemer, M. Zeilinger, R. Zenklusen | |

Abstract | This course is a mixture between a seminar primarily for PhD and postdoc students and a colloquium involving invited speakers. It consists of presentations and subsequent discussions in the area of modeling complex socio-economic systems and crises. Students and other guests are welcome. | ||||

Objective | Participants should learn to get an overview of the state of the art in the field, to present it in a well understandable way to an interdisciplinary scientific audience, to develop novel mathematical models for open problems, to analyze them with computers, and to defend their results in response to critical questions. In essence, participants should improve their scientific skills and learn to work scientifically on an internationally competitive level. | ||||

Content | This course is a mixture between a seminar primarily for PhD and postdoc students and a colloquium involving invited speakers. It consists of presentations and subsequent discussions in the area of modeling complex socio-economic systems and crises. For details of the program see the webpage of the colloquium. Students and other guests are welcome. | ||||

Lecture notes | There is no script, but a short protocol of the sessions will be sent to all participants who have participated in a particular session. Transparencies of the presentations may be put on the course webpage. | ||||

Literature | Literature will be provided by the speakers in their respective presentations. | ||||

Prerequisites / Notice | Participants should have relatively good mathematical skills and some experience of how scientific work is performed. | ||||

401-3920-67L | Optimal Stopping Number of participants limited to 26. | 4 credits | 2S | P. Cheridito | |

Abstract | In this seminar different methods to solve optimal stopping problems are studied and various applications are discussed. | ||||

Objective | The goal is to learn different methods that can be used to solve optimal stopping problems in discrete and continuous time. | ||||

Content | Methods of optimal stopping theory in both discrete and continuous time using both martingale and Markovian approaches. Various concrete problems from the theory of probability, mathematical statistics and mathematical finance that can be reformulated as problems of optimal stopping of stochastic processes. | ||||

Literature | Optimal Stopping and Free-Boundary Problems. G. Peskir and A. Shiryaev. 2006 Springer. | ||||

Prerequisites / Notice | Probability theory, stochastic processes, martingales, Brownian motion, stochastic calculus | ||||

401-5910-00L | Talks in Financial and Insurance Mathematics | 0 credits | 1K | P. Cheridito, P. Embrechts, M. Schweizer, M. Soner, J. Teichmann, M. V. Wüthrich | |

Abstract | Research colloquium | ||||

Objective | |||||

Content | Regular research talks on various topics in mathematical finance and actuarial mathematics |