Universität Wien
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390040 SE PhD-AW: Advanced Stochastic Modelling (2025S)

3.00 ECTS (2.00 SWS), SPL 39 - Doktoratsstudium Wirtschaftswissenschaften
Continuous assessment of course work
MIXED
Tu 04.03. 13:15-14:45 Seminarraum 9, Kolingasse 14-16, OG01

Details

max. 24 participants
Language: English

Lecturers

    Classes (iCal) - next class is marked with N

    • Tuesday 11.03. 13:15 - 14:45 Seminarraum 9, Kolingasse 14-16, OG01
    • Tuesday 18.03. 13:15 - 14:45 Seminarraum 9, Kolingasse 14-16, OG01
    • Tuesday 25.03. 13:15 - 14:45 Seminarraum 9, Kolingasse 14-16, OG01
    • Tuesday 01.04. 13:15 - 14:45 Seminarraum 9, Kolingasse 14-16, OG01
    • Tuesday 08.04. 13:15 - 14:45 Seminarraum 9, Kolingasse 14-16, OG01
    • Tuesday 29.04. 13:15 - 14:45 Seminarraum 9, Kolingasse 14-16, OG01
    • Tuesday 06.05. 13:15 - 14:45 Seminarraum 9, Kolingasse 14-16, OG01
    • Tuesday 13.05. 13:15 - 14:45 Seminarraum 9, Kolingasse 14-16, OG01
    • Tuesday 20.05. 13:15 - 14:45 Seminarraum 9, Kolingasse 14-16, OG01
    • Tuesday 27.05. 13:15 - 14:45 Seminarraum 9, Kolingasse 14-16, OG01
    • Tuesday 03.06. 13:15 - 14:45 Seminarraum 9, Kolingasse 14-16, OG01
    • Tuesday 10.06. 13:15 - 14:45 Seminarraum 9, Kolingasse 14-16, OG01
    • Tuesday 17.06. 13:15 - 14:45 Seminarraum 9, Kolingasse 14-16, OG01
    • Tuesday 24.06. 13:15 - 14:45 Seminarraum 9, Kolingasse 14-16, OG01

    Information

    Aims, contents and method of the course

    The focus of the seminar is on newest developments in the area of data-driven and machine learning approaches to financial problems combined with their mathematical and probabilistic foundations.

    This includes the analysis of training algorithms, financial time-series predictions, calibration, hedging, risk management, portfolio optimization, and market simulation.

    An emphasis will lie on machine learning tools tailored to learning of dynamic processes, e.g. neural SDEs and signature based methods. Mathematical tools from rough paths theory as well as (infinite) dimensional stochastic analysis shall be used.

    Assessment and permitted materials

    Talk on an article in the subject area of ​​the seminar

    Minimum requirements and assessment criteria

    Assessment of the talk

    Examination topics

    Content of the paper chosen for the talk

    Reading list

    The articles will be announced on Moodle.

    Association in the course directory

    Last modified: Th 16.01.2025 12:06