Probability & Statistics Group Heidelberg-Mannheim

Heidelberg (April-Juli 2018)

Mannheim (February-Mai 2018)

Lecturer: Prof. Dr. Leif Döring

Topics cover

  • Basics of stochastic processes
  • Stochastic integration
  • Stochastic differential equations
  • Markov process theory

More information on the course website.

Lecturer: Prof. Dr. Martin Schlather

Topics cover

    • linear models
    • neural networks

    More information on the course website.

    Lecturer: Prof. Dr. Andreas Neuenkirch

    Topics cover

    • pseudo random numbers
    • generating of uniform random numbers
    • generation of special distributions

    Lecturer: Prof. Dr. Claudia Strauch

    Topics cover

    • Binomial-, Black-Scholes, Hesten-Model
    • Calibration and simulation
    • Optionpricing via Fourier-, PDE-, Monte-Carlo-Methods
    • Pricing of American Options

    Lecturer: Prof. Dr. Klaus Schmidt

    Lecturer Prof. Dr. Jürgen Potthoff

    Topics include

    • construction of Markov processes
    • conditional expectations and martingales
    • Markov chains
    • Brownian motion

    More information on the course website.

    Lecturer: Prof. Dr. Claudia Schillings

    Topics include

    • Bayesian inverse problems
    • sampling methods (multilevel Monte-Carlo, Markov chain Monte Carlo, Quasi Monte-Carlo, Kalman Filerter)

    More information on the seminar website.

    Lecturer: Prof. Dr. Martin Schlather

    Topics include

    • genetics
    • text analysis
    • big data techniques

    More information on the course website.

    Lecturer: Prof. Dr. Leif Döring