Patrick Cheridito: Catalogue data in Spring 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 | A. 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 | |
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 and governing complex socio-economic systems, and managing risks and crises. Students and other guests are welcome. | ||||
Learning 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 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. | ||||
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 seminar. Students and other guests are welcome. | ||||
Lecture notes | There is no script, but the sessions will be recorded and be made available. 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 scientific, in particular mathematical skills and some experience of how scientific work is performed. | ||||
401-0614-00L | Probability and Statistics | 5 credits | 2V + 2U | P. Cheridito | |
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, lineare Regression | ||||
Lecture notes | Lernmaterialien sind erhältlich auf https://metaphor.ethz.ch/x/2018/fs/401-0614-00L/ | ||||
401-3629-00L | Quantitative Risk Management | 4 credits | 2V | P. Cheridito | |
Abstract | This 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 objective | The goal is to learn the most important methods from probability theory and statistics used in financial risk modeling. | ||||
Content | 1. 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 notes | Course material is available on https://people.math.ethz.ch/~patrickc/qrm | ||||
Literature | Quantitative 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 / Notice | The 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. | ||||
401-5910-00L | 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 | ||||
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 |