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401-3932-19L 6 Credits MSC D-MATH
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Machine Learning in Finance

Lecturers & Examiners: Prof. Dr. Josef Teichmann
Offered for the last time in its current form in the Spring Semester 2022. As of the Spring Semester 2023, "Machine Learning in Finance" will be replaced by "Mathematics for New Technologies in Finance" (same course number, 3V+1U, 4 ECTS credits).
VVZ CR n/a

Last Updated: 2026-02-05 16:06:47

Abstract

The course will deal with the following topics with rigorous proofs and many coding excursions: Universal approximation theorems, Stochastic gradient Descent, Deepnetworks and wavelet analysis, Deep Hedging, Deep calibration,Different network architectures, Reservoir Computing, Time series analysis by machine learning, Reinforcement learning, generative adversersial networks, Economic games.

Resources

Learning Materials (Links)

General Information

Language
English
Levels
MSC
Frequency
Yearly recurring

Examination

Type
session examination
Mode
written 90 minutes
Aids
None
Offered in its current form only in the Summer 2022 and Winter 2023 examination sessions. As of the Summer 2023 examination session, the exam for the new course unit "Mathematics for New Technologies in Finance" will be offered instead.

Course Components

Type Title Time & Place Hours
lecture Machine Learning in Finance
  • Mon 10:15-12:00 (HG G 5)
  • Wed 11:15-12:00 (HG G 3)
3 h weekly
exercise Machine Learning in Finance
  • Wed 10:15-11:00 (CLA E 4)
  • Wed 10:15-11:00 (HG E 21)
  • Wed 10:15-11:00 (LFW C 5)
1 h weekly

Offered In