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64300-01 - Vorlesung: Stochastic Processes in Finance 2 KP

Semester Frühjahrsemester 2022
Angebotsmuster unregelmässig
Dozierende Jung Kyu Canci (jungkyu.canci@unibas.ch, BeurteilerIn)
Inhalt In this course we will look at certain stochastic processes and some stochastic solution approaches. In particular, Hawkes Processes and Stochastic Differential Equations (SDEs) are going to be presented within the context of their respective practical uses in industry.
Hawkes processes are employed to model self-exciting processes, such as earthquakes, neural networks, social media, financial trading and many others.
Stochastic differential equations arise when certain variables under scrutiny are a stochastic processes, resulting in solutions which are themselves of stochastic nature. SDEs play a central role in modelling unstable systems, e.g. the value of certain financial instruments or neuronal reactivity thresholds.
The course will be essentially self-contained. Familiarity with basic probability theory is required.
The course will be held in collaboration with Dr. Philipp Mekler (applied mathematician, with a PhD in biochemistry and molecular biology), active at both University of Basel and at Roche Pharma
Special contributor will be Dr. Gang Mu, head of the Artificial Intelligence-Partnerships Team at Roche Pharma and Visiting Research Scholar at the University of Zürich. Dr. Mu will be presenting a real word problem found in industry using the material covered in this course.
Literatur - The instructors will provide their own notes
- Laub P., Lee Y., Taimre T., The Elements of Hawkes Processes, 1st edition (2021) Springer
Bemerkungen Dr. Philipp Mekler, active at both University of Basel and at Roche Pharma, will be a teacher of the course.
Dr. Gang Mu, head of the Artificial Intelligence-Partnerships Team at Roche Pharma and Visiting Research Scholar at the University of Zürich, will be presenting a real word problem found in industry using the material covered in this course.

 

Teilnahmebedingungen Fundamentals in probability theory are requested.
Unterrichtssprache Englisch
Einsatz digitaler Medien kein spezifischer Einsatz
HörerInnen willkommen

 

Intervall wöchentlich
Datum 24.02.2022 – 02.06.2022
Zeit Donnerstag, 10.15-12.00 Geographie, Seminarraum EG 0-09
Datum Zeit Raum
Donnerstag 24.02.2022 10.15-12.00 Uhr Geographie, Seminarraum EG 0-09
Donnerstag 03.03.2022 10.15-12.00 Uhr Geographie, Seminarraum EG 0-09
Donnerstag 10.03.2022 10.15-12.00 Uhr Fasnachtsferien
Donnerstag 17.03.2022 10.15-12.00 Uhr Geographie, Seminarraum EG 0-09
Donnerstag 24.03.2022 10.15-12.00 Uhr Geographie, Seminarraum EG 0-09
Donnerstag 31.03.2022 10.15-12.00 Uhr Geographie, Seminarraum EG 0-09
Donnerstag 07.04.2022 10.15-12.00 Uhr Geographie, Seminarraum EG 0-09
Donnerstag 14.04.2022 10.15-12.00 Uhr Ostern
Donnerstag 21.04.2022 10.15-12.00 Uhr Geographie, Seminarraum EG 0-09
Donnerstag 28.04.2022 10.15-12.00 Uhr Geographie, Seminarraum EG 0-09
Donnerstag 05.05.2022 10.15-12.00 Uhr Geographie, Seminarraum EG 0-09
Donnerstag 12.05.2022 10.15-12.00 Uhr Geographie, Seminarraum EG 0-09
Donnerstag 19.05.2022 10.15-12.00 Uhr Geographie, Seminarraum EG 0-09
Donnerstag 26.05.2022 10.15-12.00 Uhr Auffahrt
Donnerstag 02.06.2022 10.15-12.00 Uhr Geographie, Seminarraum EG 0-09
Module Modul: Angewandte Mathematik (Bachelorstudium: Mathematik)
Modul: Finanztheorie (Masterstudium: Actuarial Science)
Leistungsüberprüfung Lehrveranst.-begleitend
Hinweise zur Leistungsüberprüfung Students have to write a report on an article related to the topics of the course.
An-/Abmeldung zur Leistungsüberprüfung An-/Abmelden: Belegen resp. Stornieren der Belegung via MOnA
Wiederholungsprüfung keine Wiederholungsprüfung
Skala Pass / Fail
Wiederholtes Belegen beliebig wiederholbar
Zuständige Fakultät Philosophisch-Naturwissenschaftliche Fakultät, studiendekanat-philnat@unibas.ch
Anbietende Organisationseinheit Fachbereich Mathematik

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