School of Mathematics and Natural Sciences

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)

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