Josef Teichmann: Catalogue data in Spring Semester 2019 |
Name | Prof. Dr. Josef Teichmann |
Field | Financial Mathematics |
Address | Professur für Finanzmathematik ETH Zürich, HG G 54.2 Rämistrasse 101 8092 Zürich SWITZERLAND |
Telephone | +41 44 632 31 74 |
josef.teichmann@math.ethz.ch | |
URL | http://www.math.ethz.ch/~jteichma |
Department | Mathematics |
Relationship | Full Professor |
Number | Title | ECTS | Hours | Lecturers | |
---|---|---|---|---|---|
401-2284-00L | Measure and Integration | 6 credits | 3V + 2U | J. Teichmann | |
Abstract | Introduction 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 | ||||
Objective | Basic acquaintance with the abstract theory of measure and integration | ||||
Content | Introduction 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 notes | https://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 | ||||
401-3932-19L | Machine Learning in Finance | 6 credits | 3V + 1U | J. Teichmann | |
Abstract | The 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 / Notice | Bachelor in mathematics, physics, economics or computer science. | ||||
401-5820-00L | Seminar in Computational Finance for CSE | 4 credits | 2S | J. Teichmann | |
Abstract | |||||
Objective | |||||
401-5910-00L | Talks in Financial and Insurance Mathematics | 0 credits | 1K | P. Cheridito, M. Schweizer, M. Soner, J. Teichmann, M. V. Wüthrich | |
Abstract | Research colloquium | ||||
Objective | Introduction to current research topics in "Insurance Mathematics and Stochastic Finance". | ||||
Content | https://www.math.ethz.ch/imsf/courses/talks-in-imsf.html | ||||
406-2284-AAL | Measure 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 credits | 13R | J. Teichmann | |
Abstract | Introduction 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 | ||||
Objective | Basic acquaintance with the abstract theory of measure and integration | ||||
Content | Introduction 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 notes | no lecture notes | ||||
Literature | 1. 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 / Notice | The precise content changes with the examiner. Candidates must therefore contact the examiner in person before studying the material. |