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Matthew Dixon - Department of Applied Mathematics, Illinois Institute of Technology
Oct 23, 2018 - 11:25am to 12:40pm
Department of Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 121
We propose a simple non-equilibrium model of a financial market as an open system with a possible exchange of money with an outside world and market frictions (trade impacts) incorporated into asset price dynamics via a feedback mechanism. Using a linear market impact model, this produces a non-... read more
Tue.
Oct 23
Derrick Mancini - Department of Physics, Illinois Institute of Technology
Oct 23, 2018 - 12:45pm to 1:45pm
Center for Interdisciplinary Scientific Computation (CISC) - Seminar - Rettaliata Engineering Center, Room 102
TBA
Tue.
Oct 23
Andrew Papanicolaou - Department of Finance and Risk Engineering, New York University
Oct 25, 2018 - 11:25am to 12:40pm
Department of Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 121
This talk addresses the following question: if a stochastic model is specified for the curve of VIX futures, what are the restrictions in order for it to be consistent with a stochastic volatility model? In other words, assuming that a stochastic volatility model is in place, a so-called market... read more
Thu.
Oct 25

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Marcel Nutz - Department of Statistics and Department of Mathematics, Columbia University
Oct 19, 2018 - 1:00pm to 2:00pm
Department of Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 242
Mean field games are generally interpreted as approximations to \(n\)-player games with large \(n\). Indeed, \(n\)-player Nash equilibria are known to converge to their mean field counterpart when the latter is unique. In this talk we study a specific stochastic game where both the finite and... read more
Fri.
10/19/18
Shahrzad Zelenberg - Department of Applied Mathematics, Illinois Institute of Technology
Oct 18, 2018 - 3:15pm to 4:30pm
Department of Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 103
In this talk, I will discuss the general setup of a neural network and some of the newer practices of implementation. The theory of the subject is currently underdeveloped in relation to its usage; however, some theory will be covered with respect to the single layer neural network which will be... read more
Thu.
10/18/18
Ruoting Gong - Department of Applied Mathematics, Illinois Institute of Technology
Oct 16, 2018 - 11:25am to 12:40pm
Department of Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 121
The Wiener-Hopf factorization theory for Markov processes provides probabilistic interpretations of purely algebraic factorizations of linear operators that are related to these processes. These factorizations are interpreted in terms of functionals of appropriately time-changed processes that are... read more
Tue.
10/16/18

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