Time and place

Lecture: Mo, Mi, 12-14h, SR 404, Ernst-Zermelo-Str. 1
Tutorial: 2 hours, date to be determined

Teacher: Thorsten Schmidt
Assistant: Moritz Ritter
Language: in English

This lecture marks the culmination of our series on probability theory, achieving the ultimate goal of this series: the combination of stochastic analysis and financial mathematics---a field that has yielded an amazing wealth of fascinating results since the 1990s. The core is certainly the application of semimartingale theory to financial markets culminating in the fundamental theorem of asset pricing. This results is used everywhere in financial markets for arbitrage-free pricing.

After this we look into modern forms of stochastic analysis covering neural SDEs, signature methods, uncertainty and term structure models. The lecture will conclude with an examination of the latest applications of machine learning in financial markets and the reciprocal influence of stochastic analysis on machine learning.

Required: Probability Theory II (Stochastic Processes)

Elective (Option Area) (2HfB21)
Compulsory Elective in Mathematics (BSc21)
Applied Mathematics (MSc14)
Mathematics (MSc14)
Concentration Module (MSc14)
Elective (MSc14)
Advanced Lecture in Stochastics (MScData24)
Elective in Data (MScData24)

Time and place

Seminar: Fr, 10-12h, SR 125, Ernst-Zermelo-Str. 1
Preregistration:
Preliminary Meeting 18.10.
Preparation meetings for talks: Dates by arrangement

Teacher: Thorsten Schmidt
Assistant: Moritz Ritter
Language: Talk/participation possible in German and English

This seminar will focus on theoretical machine learning results, including modern universal approximation theorems, approximation of filtering methods through transformes, application of machine learning methods in financial markets and possibly other related topics. Moreover, we will cover topics in stochastic analysis, like fractional Ito calculus, uncertainty, filtering and optimal transport. You are also invited to suggest related topics.

Required: Basic Probability and either Machine Learning or Probability Theory II (Stochastic Processes).

Elective (Option Area) (2HfB21)
Mathematical Seminar (BSc21)
Compulsory Elective in Mathematics (BSc21)
Supplementary Module in Mathematics (MEd18)
Mathematical Seminar (MSc14)
Elective (MSc14)
Mathematical Seminar (MScData24)
Elective in Data (MScData24)

Time and place

Lecture: Fr, 10-12h, SR 226, Hermann-Herder-Str. 10, Do, 12-14h, SR 404, Ernst-Zermelo-Str. 1

Teacher: Thorsten Schmidt
Assistant: Moritz Ritter

Time and place

Lecture: Mo, Mi, 12-14h, HS II, Albertstr. 23b

Teacher: Thorsten Schmidt
Assistant: Moritz Ritter
general:

Compulsory Elective in Mathematics (BSc21)

Teacher: Jonathan Ansari
Assistant: Moritz Ritter
general:

Time and place

Lecture: Mo, Mi, 12-14h, HS II, Albertstr. 23b
Sit-in exam (resit) 11.10., 09:15-10:45
26.07., 09:15-10:45

Teacher: Thorsten Schmidt
Assistant: Moritz Ritter
general:

Compulsory Elective in Mathematics (BSc21)
Mathematical Concentration (MEd18, MEH21)
Applied Mathematics (MSc14)

Time and place

Lecture: Mo, Mi, 12-14h, HS II, Albertstr. 23b

Teacher: Peter Pfaffelhuber
Assistant: Moritz Ritter
general:

Compulsory Elective in Mathematics (BSc21)

Time and place

Do, 14-16h, PC-Pool Raum -100, Hermann-Herder-Str. 10

Teacher: Moritz Ritter
general:

Computer Exercise (2HfB21, MEH21, MEB21)
Supplementary Module in Mathematics (MEd18)

Time and place

Lecture: Fr, 10-12h, HS Weismann-Haus, Albertstr. 21a
29.07., 10:00-12:00

Teacher: Thorsten Schmidt
Assistant: Moritz Ritter
general: ,

Compulsory Elective in Mathematics (BSc21)

Time and place

Lecture: Mo, Mi, 12-14h, HS II, Albertstr. 23b
25.07., 12:00-14:00
Sit-in exam (resit) 13.10., 10:00-12:00

Teacher: Thorsten Schmidt
Assistant: Moritz Ritter
general:

Compulsory Elective in Mathematics (BSc21)
Mathematical Concentration (MEd18, MEH21)
Applied Mathematics (MSc14)

Time and place

Lecture: Fr, 10-12h, HS Weismann-Haus, Albertstr. 21a
22.02., 00:00-00:00
Sit-in exam (resit) 29.07., 10:00-12:00

Teacher: Thorsten Schmidt
Assistant: Moritz Ritter
general: ,

Elementary Probability Theory I (BSc21, MEB21, MEdual24)
Elementary Probabilty Theory (2HfB21, MEH21)

Teacher: Thorsten Schmidt
Assistant: Moritz Ritter
general:

Compulsory Elective in Mathematics (BSc21)

Teacher: Thorsten Schmidt
Assistant: Moritz Ritter
general:

Compulsory Elective in Mathematics (BSc21)

Time and place

Lecture: Mo, Do, 10-12h, genauere Informationen zum Ablauf durch Dozenten nach Belegung in HISinOne, -

Teacher: Thorsten Schmidt
Assistant: Lars Niemann, Moritz Ritter
general:

Compulsory Elective in Mathematics (BSc21)
Mathematical Concentration (MEd18, MEH21)

Time and place

Lecture: Mi, Mo, 12-14h, , online

Teacher: Thorsten Schmidt
Assistant: Moritz Ritter
general:

Mathematical Concentration (MEd18, MEH21)
Compulsory Elective in Mathematics (BSc21)