Patrick Cheridito: Catalogue data in Spring Semester 2018

Name Prof. Dr. Patrick Cheridito
FieldInsurance Mathematics
Address
Dep. Mathematik
ETH Zürich, HG F 42.3
Rämistrasse 101
8092 Zürich
SWITZERLAND
Telephone+41 44 633 87 87
E-mailpatrick.cheridito@math.ethz.ch
URLhttp://www.math.ethz.ch/~patrickc
DepartmentMathematics
RelationshipFull Professor

NumberTitleECTSHoursLecturers
364-1058-00LRisk Center Seminar Series Restricted registration - show details
Number of participants limited to 50.
0 credits2SA. Bommier, D. Basin, 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. Stojadinovic, B. Sudret, U. A. Weidmann, S. Wiemer, M. Zeilinger, R. Zenklusen
AbstractThis 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 and governing complex socio-economic systems, and managing risks and crises. Students and other guests are welcome.
Learning objectiveParticipants 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 and approaches for open problems, to analyze them with computers or other means, 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.
ContentThis 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 seminar. Students and other guests are welcome.
Lecture notesThere is no script, but the sessions will be recorded and be made available. Transparencies of the presentations may be put on the course webpage.
LiteratureLiterature will be provided by the speakers in their respective presentations.
Prerequisites / NoticeParticipants should have relatively good scientific, in particular mathematical skills and some experience of how scientific work is performed.
401-0614-00LProbability and Statistics Information 5 credits2V + 2UP. Cheridito
AbstractEinführung in die Wahrscheinlichkeitstheorie und Statistik
Learning objectivea) 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
ContentWahrscheinlichkeitsraum, 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, lineare Regression
Lecture notesLernmaterialien sind erhältlich auf https://metaphor.ethz.ch/x/2018/fs/401-0614-00L/
401-3629-00LQuantitative Risk Management4 credits2VP. Cheridito
AbstractThis course introduces methods from probability theory and statistics that can be used to model financial risks. Topics addressed include loss distributions, risk measures, extreme value theory, multivariate models, copulas and dependence structures as well as operational risk.
Learning objectiveThe goal is to learn the most important methods from probability theory and statistics used in financial risk modeling.
Content1. Introduction
2. Basic Concepts in Risk Management
3. Empirical Properties of Financial Data
4. Financial Time Series
5. Extreme Value Theory
6. Multivariate Models
7. Copulas and Dependence
8. Operational Risk
Lecture notesCourse material is available on https://people.math.ethz.ch/~patrickc/qrm
LiteratureQuantitative Risk Management: Concepts, Techniques and Tools
AJ McNeil, R Frey and P Embrechts
Princeton University Press, Princeton, 2015 (Revised Edition)
http://press.princeton.edu/titles/10496.html
Prerequisites / NoticeThe course corresponds to the Risk Management requirement for the SAA ("Aktuar SAV Ausbildung") as well as for the Master of Science UZH-ETH in Quantitative Finance.
401-5910-00LTalks in Financial and Insurance Mathematics Information 0 credits1KP. Cheridito, P. Embrechts, M. Schweizer, M. Soner, J. Teichmann, M. V. Wüthrich
AbstractResearch colloquium
Learning objectiveIntroduction to current research topics in "Insurance Mathematics and Stochastic Finance".
Contenthttps://www.math.ethz.ch/imsf/courses/talks-in-imsf.html