Financial Mathematics

• Derivatives/option pricing
• Stochastic volatility (SABR, Heston)
• Numerical methods (Monte Carlo simulation, PDE Methods, Transform techniques)

Machine Learning/Statistical Learning

• Applications to pricing and calibration problems in finance
• Applications to solving ODE/PDE with Deep Learning techniques
• Gaussian Process Regression / Bayes analysis

Projekte

Calibration of using machine learning techniques including neural nets
Economic scenario generation using advanced stochastic models for IR and EQ