- Lectures by prof. Yuying Li, A Data Driven Approach to Pricing and Risk Management
- Announcement In de second half of April, Professor Yuying Li from the Cheriton School of Computer Science, University of Waterloo, Canada will give an 8 hours teaching course at CWI.
- When Apr 26, 2016 from 08:00 AM to 10:00 AM (Europe/Amsterdam / UTC200)
- Where CWI, Science Park 123, room L120
- Add event to calendar iCal
In de second half of April, Professor Yuying Li from the Cheriton School of Computer Science, University of Waterloo, Canada will give an 8 hours teaching course at CWI.
Monday 18 April 01:30 - 03:30 PM
Tuesday 19 April 10:00 - 12:00 AM
Monday 25 April 01:30 - 03:30 PM
Tuesday 26 April 10:00 - 12:00 AM
Where: room L120, CWI -- Center for Mathematics & Computer Science, Science Park 123, Amsterdam.
Details: This short course explores the potential of a data driven approach to pricing and risk management for finance and insurance. Specifically, we will discuss
- Convex and nonconvex optimization in finance and insurance
- Optimization theory: duality and optimality conditions
- Primal and dual Support Vector Machines (SVM) for classification and regression
- Kernels and similarity measures
- A data driving local volatility learning
- Rare class ranking for unbalanced learning
- Unsupervised learning and spectral clustering
- A spectral ranking for insurance fraud detection
You are all cordially invited to attend these lectures!
Participation is free of charge, but please inform us at Nada.Mitrovic@cwi.nl if you are planning to attend.