PD Dr. Jörg Kienitz
Details
joerg.kienitz{at}math.uni-wuppertal.de
Homepage
Sprechzeiten
nach Vereinbarung
Besucher Adresse
Bergische Universität Wuppertal
Gaußstraße 20
D-42119 Wuppertal
Forschungsinteressen
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
Lehrveranstaltungen
Mathematics for Machine Learning (SoSe 2020, Mo 10-14)
