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
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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