Paul Embrechts: Catalogue data in Autumn Semester 2017

Name Prof. em. Dr. Paul Embrechts
Address
Professur für Mathematik
ETH Zürich, HG E 65.1
Rämistrasse 101
8092 Zürich
SWITZERLAND
E-mailpaul.embrechts@math.ethz.ch
URLhttp://www.math.ethz.ch/~embrechts
DepartmentMathematics
RelationshipProfessor emeritus

NumberTitleECTSHoursLecturers
364-1058-00LRisk Center Seminar Series Restricted registration - show details
Number of participants limited to 50.
0 credits2SB. Stojadinovic, D. Basin, A. Bommier, 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. 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 complex socio-economic systems and crises. Students and other guests are welcome.
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 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.
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 colloquium. Students and other guests are welcome.
Lecture notesThere 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.
LiteratureLiterature will be provided by the speakers in their respective presentations.
Prerequisites / NoticeParticipants should have relatively good mathematical skills and some experience of how scientific work is performed.
401-4621-67LCapita Selecta in Extreme Value Theory4 credits2VP. Embrechts
AbstractIn this course topics beyond one-dimensional Extreme Value Theory (EVT) will be discussed. Capita Selecta included are: multivariate extremes, EVT for stationary processes, point process methodology and max-stable processes.
ObjectiveStudents following this course will obtain an overview of modern EVT and be able to read and understand the more recent literature on the stochastic modelling of extremal events.
ContentTopics treated will include:
- A brief overview of one-dimensional EVT
- More-dimensional EVT
- The point process approach
- An introduction to max-stable processes
- Some applications
Lecture notesThis is a blackboard course typically aimed at students in mathematics.
Literature- P. Embrechts, C. Klueppelberg, T. Mikosch (1997): Modelling Extremal Events for Insurance and Finance, Springer, Berlin.
- S.I. Resnick (1987): Extreme Values, Regular Variation, and Point Processes, Springer, New York.
- S.I. Resnick (2007): Heavy-Tail Phenomena. Probabilistic and Statistical Modeling, Springer, New York.
- Recent research papers.
Prerequisites / NoticeThe ideal background for this course is 401-3916-60 V "An Introduction to the modelling of Extremes". At the start of the present course, a brief overview of the main results from the latter course will be given. A background in measure theoretic probability theory is expected.
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
Objective
ContentRegular research talks on various topics in mathematical finance and actuarial mathematics