Lectures by prof. Yuying Li, A Data Driven Approach to Pricing and Risk Management
- https://www.cwi.nl/events/2016/lectures-prof-yuying-li-data-driven-approach-pricing-and-risk-management
- Lectures by prof. Yuying Li, A Data Driven Approach to Pricing and Risk Management
- 2016-04-26T08:00:00+02:00
- 2016-04-26T10:00:00+02:00
- 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
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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:
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.
Kind regards,
Kees Oosterlee