Philipp Schmocker


School of Physical and Mathematical SciencesNanyang Technological University (NTU), Singapore







I am a PhD student in Mathematics under the supervision of Prof. Dr. Ariel Neufeld at Nanyang Technological University (NTU), Singapore.
Office: SPMS-MAS-04-14, 21 Nanyang Link, Singapore 637371
Mail: philippt001 |at| e.ntu.edu.sg

Research Interest

Links: [Profile on ResearchGate] [Profile on GoogleScholar]
Last update of this homepage: 9 May 2024

Education

2021 - today: Ph.D. in Mathematics, Nanyang Technological University (NTU), Singapore
2019 - 2021: Ph.D. in Economics and Finance, University of St.Gallen (HSG), Switzerland
2015 - 2018: Master of Science in Mathematics, Swiss Federal Institute of Technology (ETH) Zurich, Switzerland
2012 - 2016: Bachelor of Science in Mathematics, Swiss Federal Institute of Technology (ETH) Zurich, Switzerland

Publications and Preprints

A. Neufeld, P. Schmocker, S. Wu:
Full error analysis of the random deep splitting method for nonlinear parabolic PDEs and PIDEs with infinite activity
Preprint (submitted), 2024 [PDF, arXiv, Code]

A. Neufeld, P. Schmocker:
Universal approximation property of random neural networks
Preprint (submitted), 2023 [PDF, arXiv, Code]

C. Cuchiero, P. Schmocker, J. Teichmann:
Global universal approximation of functional input maps on weighted spaces
Preprint (submitted), 2023 [PDF, arXiv, Code]

A. Neufeld, P. Schmocker:
Chaotic hedging with iterated integrals and neural Networks
Preprint (submitted), 2022 [PDF, arXiv, Code]


A. Neufeld, P. Schmocker:
Learning stochastic partial differential equations via neural networks in the chaos expansion
Working Paper

C. Cuchiero, P. Mijatovic, P. Schmocker, J. Teichmann:
Deep stochastic portfolio theory
Working Paper

Theses

P. Schmocker:
Universal approximation on path spaces and applications to finance
PhD Thesis, University of St.Gallen [PDF]

P. Schmocker:
Frictions in stochastic portfolio theory
Master's Thesis, ETH Zurich

Talks

Universal approximation property of random neural networks, Aug 2024
The First INFORMS Conference on Financial Engineering and FinTech, Hongkong

Universal approximation property of random neural networks, Jul 2024
12th Bachelier World Congress of the Bachelier Finance Society (BFS), Rio de Janeiro, Brazil

Universal approximation property of random neural networks, Jan 2024
16ème Colloque Bachelier en Mathématiques Financières et Calcul Stochastique , Métabief, France

Universal approximation property of random neural networks, Jul 2023
Stochastics and Financial Mathematics Seminar, University of Konstanz, Germany

Universal approximation property of random neural networks, Jun 2023
Poster, Informs Applied Probability Society Conference 2023, Nancy, France

Global universal approximation of functional input maps on weighted spaces, Jun 2023
SfS-PhD Presentation at ETH Zurich, Zurich, Switzerland

Chaotic hedging with iterated integrals and neural networks, Jun 2023
SIAM Conference on Financial Mathematics and Engineering (FM23), Philadelphia, USA

Universal approximation property of random neural networks, Jun 2023
SIAM Conference on Optimization (OP23), Seattle, USA

Universal approximation property of random neural networks, Feb 2023
SIAM Conference on Computational Science and Engineering (CSE23), Amsterdam, Netherlands

Chaotic hedging with iterated integrals and neural networks, Nov 2022
Mathematical Finance Seminar, Bar-Ilan University, online

Chaotic hedging with iterated integrals and neural networks, Sep 2022
SIAM Conference on Mathematics of Data Science (MDS22), San Diego, USA

Chaotic hedging with iterated integrals and neural networks, Jun 2022
11th World Congress 2020 of the Bachelier Finance Society (BFS), online

Chaotic hedging with iterated integrals and neural networks, Dec 2020
Seminar of Stochastic Finance Group at ETH Zurich, online

Universal approximation on weighted space, Nov 2020
PhD Seminar University of St.Gallen, online

Universal approximation on path space, Aug 2020
Bernoulli-IMS One World Symposium,  online

Deep stochastic portfolio theory, May 2020
Seminar of Stochastic Finance Group at ETH Zurich, online

Deep stochastic portfolio theory, Feb 2020
Computational Social Seminar, Constance, Germany

Deep stochastic portfolio theory, Nov 2019
Vienna-Zurich Symposium for Young Researchers in Financial Mathematics and Related Fields, Vienna, Austria

Deep stochastic portfolio theory, Nov 2019
PhD Seminar University of St.Gallen, St. Gallen, Switzerland

Deep stochastic portfolio theory, Sep 2019
Vienna Congress on Mathematical Finance, Vienna, Austria

Academic Services

Referee Reports for the Journals:

Member of the following organizations:

Selection to the following volunteering organizations in Nanyang Technological University (NTU):

Teaching