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105.174 Deep Learning in Financial and Actuarial Mathematics
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2023W, VO, 3.0h, 4.5EC
TUWEL

Properties

  • Semester hours: 3.0
  • Credits: 4.5
  • Type: VO Lecture
  • Format: Presence

Learning outcomes

After successful completion of the course, students are able to...

  • describe several types of neural networks (recurrent, convolutional), and to discuss their topology
  • to apply stochastic gradient descent including curvature
  • to implement the resulting algorithms via Keras and Tensorflow
  • to apply the resulting Deep Learning technology on problems of financial and actuarial mathematics

Subject of course

  • required foundations of linear algebra and Bayesian statistics
  • recurrent neural networks and their application in importance sampling for valuation of derivatives, limit order book, solvency capital requirement, life insurance risk estimation
  • convolutional neural networks and their application for financial time series

Teaching methods

  • blackboard presentation
  • conceptional mathematical proofs
  • programming in Python based on the Keras/Tensorflow platform

Mode of examination

Oral

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Wed10:00 - 12:0004.10.2023Zeichensaal 3 Erster Termin beginnt später
Wed09:00 - 12:0011.10.2023 - 24.01.2024Sem.R. DB gelb 05 B .
Wed09:00 - 12:0008.11.2023Sem.R. DA grün 06B Anderer Raum
Deep Learning in Financial and Actuarial Mathematics - Single appointments
DayDateTimeLocationDescription
Wed04.10.202310:00 - 12:00Zeichensaal 3 Erster Termin beginnt später
Wed11.10.202309:00 - 12:00Sem.R. DB gelb 05 B .
Wed18.10.202309:00 - 12:00Sem.R. DB gelb 05 B .
Wed25.10.202309:00 - 12:00Sem.R. DB gelb 05 B .
Wed08.11.202309:00 - 12:00Sem.R. DA grün 06B Anderer Raum
Wed22.11.202309:00 - 12:00Sem.R. DB gelb 05 B .
Wed29.11.202309:00 - 12:00Sem.R. DB gelb 05 B .
Wed06.12.202309:00 - 12:00Sem.R. DB gelb 05 B .
Wed13.12.202309:00 - 12:00Sem.R. DB gelb 05 B .
Wed10.01.202409:00 - 12:00Sem.R. DB gelb 05 B .
Wed17.01.202409:00 - 12:00Sem.R. DB gelb 05 B .
Wed24.01.202409:00 - 12:00Sem.R. DB gelb 05 B .

Examination modalities

oral exam

Course registration

Begin End Deregistration end
01.08.2023 00:00 15.10.2023 23:59 31.10.2023 23:59

Curricula

Study CodeObligationSemesterPrecon.Info
860 GW Optional Courses - Technical Mathematics Mandatory elective

Literature

No lecture notes are available.

Language

if required in English