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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. |
| Teilnahmevoraussetzungen | Fundamentals in probability theory are requested. |
| Unterrichtssprache | Englisch |
| Einsatz digitaler Medien | kein spezifischer Einsatz |
| HörerInnen willkommen |
| Intervall | Wochentag | Zeit | Raum |
|---|---|---|---|
| wöchentlich | Donnerstag | 10.15-12.00 | Geographie, Seminarraum EG 0-09 |
Einzeltermine
| 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) |
| Prüfung | Lehrveranst.-begleitend |
| Hinweise zur Prüfung | Students have to write a report on an article related to the topics of the course. |
| An-/Abmeldung zur Prüfung | Anm.: Belegen Lehrveranstaltung; Abm.: stornieren |
| Wiederholungsprüfung | keine Wiederholungsprüfung |
| Skala | Pass / Fail |
| Belegen bei Nichtbestehen | beliebig wiederholbar |
| Zuständige Fakultät | Philosophisch-Naturwissenschaftliche Fakultät, studiendekanat-philnat@unibas.ch |
| Anbietende Organisationseinheit | Fachbereich Mathematik |