## Patrick Cheridito: Catalogue data in Autumn Semester 2018 |

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, H. Gersbach, H. R. Heinimann, M. Larsson, 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. | ||||

401-3905-68L | Convex Optimization in Machine Learning and Computational Finance | 4 credits | 2V | P. Cheridito, M. Baes | |

Abstract | |||||

Objective | |||||

Content | Part 1: Convex Analysis Lecture 1: General introduction, convex sets and functions Lecture 2: Semidefinite cone, Separation theorems (Application to the Fundamental Theorem of Asset Pricing) Lecture 3: Analytic properties of convex functions, duality (Application to Support Vector Machines) Lecture 4: Lagrangian duality, conjugate functions, support functions Lecture 5: Subgradients and subgradient calculus (Application to Automatic Differentiation and Lexicographic Differentiation) Lecture 6: Karush-Kuhn-Tucker Conditions (Application to Markowitz portfolio optimization) Part 2: Applications Lecture 7: Approximation, Lasso optimization, Covariance matrix estimation (Application: a politically optimal splitting of Switzerland) Lecture 8: Clustering and MaxCut problems, Optimal coalitions and Shapley Value Part 3: Algorithms Lecture 9: Intractability of Optimization, Gradient Method for convex optimization, Stochastic Gradient Method (Application to Neural Networks) Lecture 10: Fundamental flaws of Gradient Methods, Mirror Descent Method (Application to Multiplicative Weight Method and Adaboost) Lecture 11: Accelerated Gradient Method, Smoothing Technique (Application to large-scale Lasso optimization) Lecture 12: Newton Method and its fundamental drawbacks, Self-Concordant Functions Lecture 13: Interior-Point Methods | ||||

401-5910-00L | Talks in Financial and Insurance Mathematics | 0 credits | 1K | P. Cheridito, 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 |