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Contact

Chair of Applied Mathematics / Numerical Analysis
Bergische Universität Wuppertal
Faculty of Mathematics and Natural Sciences
Gaußstraße 20
D-42119 Wuppertal
Germany

Phone: +49 202 439 5296
Fax: (Fax currently unavailable)
E-Mail: sek-amna{at}math.uni-wuppertal.de

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Jörg Kienitz

Dr.

Details

E-Mail joerg.kienitz{at}math.uni-wuppertal.de
Website
finciraptor.de
Office hours by appointment
Address

Bergische Universität Wuppertal
Gaußstraße 20
D-42119 Wuppertal

Research Interests

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

Projects

Calibration of using machine learning techniques including neural nets
Economic scenario generation using advanced stochastic models for IR and EQ
Lectures Mathematics for Machine Learning (SoSe 2020, Mo 10-14)