Josef Teichmann: Catalogue data in Spring Semester 2019

Name Prof. Dr. Josef Teichmann
FieldFinancial Mathematics
Address
Professur für Finanzmathematik
ETH Zürich, HG G 54.2
Rämistrasse 101
8092 Zürich
SWITZERLAND
Telephone+41 44 632 31 74
E-mailjosef.teichmann@math.ethz.ch
URLhttp://www.math.ethz.ch/~jteichma
DepartmentMathematics
RelationshipFull Professor

NumberTitleECTSHoursLecturers
401-2284-00LMeasure and Integration Information 6 credits3V + 2UJ. Teichmann
AbstractIntroduction to abstract measure and integration theory, including the following topics: Caratheodory extension theorem, Lebesgue measure, convergence theorems, L^p-spaces, Radon-Nikodym theorem, product measures and Fubini's theorem, measures on topological spaces
ObjectiveBasic acquaintance with the abstract theory of measure and integration
ContentIntroduction to abstract measure and integration theory, including the following topics: Caratheodory extension theorem, Lebesgue measure, convergence theorems, L^p-spaces, Radon-Nikodym theorem, product measures and Fubini's theorem, measures on topological spaces
Lecture noteshttps://people.math.ethz.ch/~lang/mi.pdf
Literature- D. A. Salamon, Measure and Integration, EMS 2016
- W. Rudin, Real and Complex Analysis, McGraw-Hill 1987
- P. R. Halmos, Measure Theory, Springer 1950
401-3932-19LMachine Learning in Finance6 credits3V + 1UJ. Teichmann
AbstractThe course will deal with the following topics with rigorous proofs and many coding excursions: Universal approximation theorems, Stochastic gradient Descent, Deep
networks and wavelet analysis, Deep Hedging, Deep calibration,
Different network architectures, Reservoir Computing, Time series analysis by machine learning, Reinforcement learning, generative adversersial networks, Economic games.
Objective
Prerequisites / NoticeBachelor in mathematics, physics, economics or computer science.
401-5820-00LSeminar in Computational Finance for CSE4 credits2SJ. Teichmann
Abstract
Objective
401-5910-00LTalks in Financial and Insurance Mathematics Information 0 credits1KP. Cheridito, M. Schweizer, M. Soner, J. Teichmann, M. V. Wüthrich
AbstractResearch colloquium
ObjectiveIntroduction to current research topics in "Insurance Mathematics and Stochastic Finance".
Contenthttps://www.math.ethz.ch/imsf/courses/talks-in-imsf.html
406-2284-AALMeasure and Integration
Enrolment ONLY for MSc students with a decree declaring this course unit as an additional admission requirement.

Any other students (e.g. incoming exchange students, doctoral students) CANNOT enrol for this course unit.
6 credits13RJ. Teichmann
AbstractIntroduction to abstract measure and integration theory, including the following topics: Caratheodory extension theorem, Lebesgue measure, convergence theorems, L^p-spaces, Radon-Nikodym theorem, product measures and Fubini's theorem, measures on topological spaces
ObjectiveBasic acquaintance with the abstract theory of measure and integration
ContentIntroduction to abstract measure and integration theory, including the following topics: Caratheodory extension theorem, Lebesgue measure, convergence theorems, L^p-spaces, Radon-Nikodym theorem, product measures and Fubini's theorem, measures on topological spaces
Lecture notesno lecture notes
Literature1. P.R. Halmos, "Measure Theory", Springer
2. Extra material: Lecture Notes by Emmanuel Kowalski and Josef Teichmann from spring semester 2012, http://www.math.ethz.ch/~jteichma/measure-integral_120615.pdf
3. Extra material: P. Cannarsa & T. D'Aprile, "Lecture Notes on Measure Theory and Functional Analysis", http://www.mat.uniroma2.it/~cannarsa/cam_0607.pdf
Prerequisites / NoticeThe precise content changes with the examiner. Candidates must therefore contact the examiner in person before studying the material.