Fakultät für Mathematik und Naturwissenschaften

PD Dr. Jörg Kienitz

Details

E-Mail

joerg.kienitz{at}math.uni-wuppertal.de

Homepage

finciraptor.de

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)

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