Ab 2. November 2020 findet das Herbstsemester 2020 online statt. Ausnahmen: Veranstaltungen, die nur mit Präsenz vor Ort durchführbar sind.
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Patrick Cheridito: Katalogdaten im Herbstsemester 2018

NameHerr Prof. Dr. Patrick Cheridito
LehrgebietVersicherungsmathematik
Adresse
Dep. Mathematik
ETH Zürich, HG F 42.3
Rämistrasse 101
8092 Zürich
SWITZERLAND
Telefon+41 44 633 87 87
E-Mailpatrick.cheridito@math.ethz.ch
URLhttp://www.math.ethz.ch/~patrickc
DepartementMathematik
BeziehungOrdentlicher Professor

NummerTitelECTSUmfangDozierende
364-1058-00LRisk Center Seminar Series Belegung eingeschränkt - Details anzeigen
Maximale Teilnehmerzahl: 50
0 KP2SB. Stojadinovic, D. Basin, A. Bommier, D. N. Bresch, L.‑E. Cederman, P. Cheridito, H. Gersbach, H. R. Heinimann, M. Larsson, G. Sansavini, F. Schweitzer, D. Sornette, B. Sudret, U. A. Weidmann, S. Wiemer, M. Zeilinger, R. Zenklusen
KurzbeschreibungThis 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.
LernzielParticipants 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.
InhaltThis 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.
SkriptThere 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.
LiteraturLiterature will be provided by the speakers in their respective presentations.
Voraussetzungen / BesonderesParticipants should have relatively good mathematical skills and some experience of how scientific work is performed.
401-3905-68LConvex Optimization in Machine Learning and Computational Finance Information 4 KP2VP. Cheridito, M. Baes
Kurzbeschreibung
Lernziel
InhaltPart 1: Convex Analysis
Lecture 1: General introduction, convex sets and functions
Lecture 2: Semidefinite cone, Separation theorems (Application to the Fundamental Theorem of Asset Pricing)
Lecture 3: Analytic properties of convex functions, duality (Application to Support Vector Machines)
Lecture 4: Lagrangian duality, conjugate functions, support functions
Lecture 5: Subgradients and subgradient calculus (Application to Automatic Differentiation and Lexicographic Differentiation)
Lecture 6: Karush-Kuhn-Tucker Conditions (Application to Markowitz portfolio optimization)
Part 2: Applications
Lecture 7: Approximation, Lasso optimization, Covariance matrix estimation (Application: a politically optimal splitting of Switzerland)
Lecture 8: Clustering and MaxCut problems, Optimal coalitions and Shapley Value
Part 3: Algorithms
Lecture 9: Intractability of Optimization, Gradient Method for convex optimization, Stochastic Gradient Method (Application to Neural Networks)
Lecture 10: Fundamental flaws of Gradient Methods, Mirror Descent Method (Application to Multiplicative Weight Method and Adaboost)
Lecture 11: Accelerated Gradient Method, Smoothing Technique (Application to large-scale Lasso optimization)
Lecture 12: Newton Method and its fundamental drawbacks, Self-Concordant Functions
Lecture 13: Interior-Point Methods
401-5910-00LTalks in Financial and Insurance Mathematics Information 0 KP1KP. Cheridito, M. Schweizer, M. Soner, J. Teichmann, M. V. Wüthrich
KurzbeschreibungResearch colloquium
Lernziel
InhaltRegular research talks on various topics in mathematical finance and actuarial mathematics